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XTBUNITROOT: Stata module to perform unit root tests for panel data with structural breaks

Author

Listed:
  • Pengyu Chen

    (University of Birmingham)

  • Yiannis Karavias

    (University of Birmingham)

Programming Language

Stata

Abstract

xtbunitroot performs panel unit root tests allowing for structural breaks, using the methodology developed by Karavias and Tzavalis (CSDA, 2014). These tests allow for one or two structural breaks in the deterministic components of the series and can be used in both fixed-T and large-T settings, where T is the number of time series observations in the sample. Two models of deterministic components are considered. The first model contains fixed effects only (intercepts) and the second model includes interecepts and linear trends. The dates of the breaks can be known or unknown. When the dates of the breaks are unknown, a bootstrap procedure is used to calculate the critical and p-values of the test. The errors can be nonnormal, cross-sectionally dependent and cross-sectionally heteroskedastic. The tests have power against both homogeneous and heterogeneous alternatives. The null hypothesis is that all series in the panel are unit root processes. The alternative is that some or all of the series are stationary, with breaks in the deterministic specification (intercepts and trends).

Suggested Citation

  • Pengyu Chen & Yiannis Karavias, 2021. "XTBUNITROOT: Stata module to perform unit root tests for panel data with structural breaks," Statistical Software Components S458955, Boston College Department of Economics, revised 01 Sep 2022.
    • Handle: RePEc:boc:bocode:s458955
    Note: This module should be installed from within Stata by typing "ssc install xtbunitroot". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbunitroot.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbunitroot.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbunitroot_example.do
    File Function: sample do-file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtbunitroot_example.dta
    File Function: sample data file
    Download Restriction: no
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