LPUNIT: RATS procedure to implement Lumsdaine-Papell unit root test with structural breaks
AbstractImplements the Lumsdaine-Papell unit root test, allowing for two breaks in the intercept, the trend or both at unknown locations. Lumsdaine and Papell(1997), "Multiple trend breaks and the unit root hypothesis", Review of Economics and Statistics, vol 79, 212-218.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00110.
Programming language: RATS
Requires: RATS 7.30
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Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
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