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BOUNDEDUR: Stata module to perform unit root tests for bounded time series

Author

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  • Merwan Roudane

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Abstract

and Xu (2014, Journal of Econometrics 178: 259-272). The package provides both Augmented Dickey-Fuller (ADF) and M tests with simulation-based p-values that properly account for the effects of bounds on test statistics. Many economic and financial time series are inherently bounded—including interest rates, unemployment rates, capacity utilization rates, and target zone exchange rates. Conventional unit root tests produce unreliable results when applied to such series, as they do not account for the boundary effects.

Suggested Citation

  • Merwan Roudane, 2026. "BOUNDEDUR: Stata module to perform unit root tests for bounded time series," Statistical Software Components S459584, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459584
    Note: This module should be installed from within Stata by typing "ssc install boundedur". 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/b/boundedur.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/b/boundedur.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_boundedur_adf.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_boundedur_m.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/b/boundedur_examples.do
    File Function: sample do-file
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    File URL: http://fmwww.bc.edu/repec/bocode/b/boundedur_cert.do
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