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PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date

Author

Listed:
  • Tom Doan

    () (Estima)

Abstract

Does the Perron-Rodriguez(2003) test for unit roots using GLS detrending, allowing for a break point at an unknown date. Perron and Rodriguez(2003), "GLS Detrending, Efficient Unit Root Tests and Structural Change", Journal of Econometrics, vol 115, pp 1-27.

Suggested Citation

  • Tom Doan, "undated". "PERRONRODRIGUEZ: RATS procedure to perform Perron-Rodriguez unit root test allowing for break at unknown date," Statistical Software Components RTS00156, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00156
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    Cited by:

    1. Mozaffari, Samaneh & Nateghi, Mohammad Reza & Zarandi, Mahmood Borhani, 2017. "An overview of the Challenges in the commercialization of dye sensitized solar cells," Renewable and Sustainable Energy Reviews, Elsevier, vol. 71(C), pages 675-686.

    More about this item

    Keywords

    Unit root tests with breaks;

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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