CLEMAO_IO: Stata module to perform unit root tests with one or two structural breaks
AbstractThese routines perform the two-break unit root tests described by Clemente, Montañés, Reyes (1998) and the simpler one-break tests of Perron and Vogelsang (1992). They model both the additive outlier (AO) scheme and the innovational outlier (IO) schemes. These tests may be applied to single time series within panels with the if qualifier or the by prefix.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S444302.
Programming language: Stata
Requires: Stata version 8.2
Date of creation: 14 Jul 2004
Date of revision: 07 May 2013
Note: This module should be installed from within Stata by typing "ssc install clemao_io". Windows users should not attempt to download these files with a web browser.
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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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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