LSUNIT: RATS procedure to implement Lee-Strazicich unit root tests with one or more structural breaks
AbstractImplementation 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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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00112.
Programming language: RATS
Requires: RATS 7.30
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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:
- Junsoo Lee & Mark C. Strazicich, 2004. "Minimum LM Unit Root Test with One Structural Break," Working Papers 04-17, Department of Economics, Appalachian State University.
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