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LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks

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  • Tom Doan

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    (Estima)

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Abstract

Implementation of Lee-Strazicich LM unit root tests with one or two structural breaks. Optionally, it can do more than two breaks. Lee and Strazicich(2004), "Minimum LM Unit Root Test with One Structural Break", Appalachian State University Working Paper Lee and Strazicich(2003), "Minimum LM Unit Root Test with Two Structural Breaks", Review of Economics and Statistics, vol 85, no. 4, 1082-1089.

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File URL: http://www.estima.com/procs_perl/lsunit.src
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00112.

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Programming language: RATS
Requires: RATS 7.30
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Handle: RePEc:boc:bocode:rts00112

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Related research

Keywords: Unit root tests with breaks;

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