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XTPQROOT: Stata module to provide Panel Quantile Unit Root Tests with Common Shocks & Structural Breaks

Author

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  • Merwan Roudane

Programming Language

Abstract

xtpqroot implements two novel panel unit root tests designed for panel data with cross-sectional dependence (CSD): 1) CIPS(tau) Test: Quantile panel unit root test with common shocks, proposed by Yang, Wei & Cai (2022, Economics Letters). It extends Pesaran's (2007) CIPS test to a quantile regression framework, allowing the analysis of asymmetric persistence across different quantiles of the conditional distribution. While the standard CIPS test assesses the mean persistence, CIPS(tau) can detect, for example, whether a series is more persistent in extreme quantiles than in the center. Implementation follows Nazlioglu, Tarakci, Karul & Erdem (2026, NAJEF). 2) tFR Test: Panel unit root test with smooth and sharp structural breaks, proposed by Corakci & Omay (2023, Renewable Energy). It combines the fractional Fourier function (for smooth, gradual breaks) with the logistic smooth transition (LST) function (for sharp, abrupt breaks). This allows the test to capture {bf:both types of structural change simultaneously}. Cross-sectional dependence is corrected via the sieve bootstrap procedure of Chang (2004).

Suggested Citation

  • Merwan Roudane, 2026. "XTPQROOT: Stata module to provide Panel Quantile Unit Root Tests with Common Shocks & Structural Breaks," Statistical Software Components S459625, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459625
    Note: This module should be installed from within Stata by typing "ssc install xtpqroot". 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/xtpqroot.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtpqroot.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpqroot_cips.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/_/_xtpqroot_fourier.ado
    File Function: program code
    Download Restriction: no
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