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CLEMAO_IO: Stata module to perform unit root tests with one or two structural breaks

Author

Listed:
  • Christopher F Baum

    (Boston College)

Programming Language

Stata

Abstract

These 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.

Suggested Citation

  • Christopher F Baum, 2004. "CLEMAO_IO: Stata module to perform unit root tests with one or two structural breaks," Statistical Software Components S444302, Boston College Department of Economics, revised 23 Apr 2018.
    • Handle: RePEc:boc:bocode:s444302
    Note: This module should be installed from within Stata by typing "ssc install clemao_io". 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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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/c/clemao1.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/clemao1.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/clemao2.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/clemao2.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/clemio1.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/clemio1.hlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/clemio2.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/clemio2.hlp
    File Function: help file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Johann Burgstaller, 2009. "When and why do Austrian companies issue shares?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(3), pages 229-244, August.
    2. Roberto Martínez-Espiñeira, 2007. "An Estimation of Residential Water Demand Using Co-Integration and Error Correction Techniques," Journal of Applied Economics, Taylor & Francis Journals, vol. 10(1), pages 161-184, May.

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