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DPTEST: Stata module to perform multiple unit root and cointegration tests for I(2) processes

Author

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  • Merwan Roudane

Programming Language

Abstract

dptest implements four complementary tests for determining the order of integration in time series and for testing cointegration when both I(1) and I(2) variables are present: 1) Dickey-Pantula (1987) sequential t* procedure for multiple unit roots 2) Hasza-Fuller (1979) joint F test (Phi statistics) for double unit roots 3) Haldrup (1994 JBES) semiparametric Z(F*) test for double unit roots 4) Haldrup (1994 JoE) residual-based cointegration ADF test with I(1) and I(2) variables

Suggested Citation

  • Merwan Roudane, 2026. "DPTEST: Stata module to perform multiple unit root and cointegration tests for I(2) processes," Statistical Software Components S459641, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459641
    Note: This module should be installed from within Stata by typing "ssc install dptest". 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/d/dptest.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/dptest.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/dptest_example.do
    File Function: sample do-file
    Download Restriction: no
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