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KAPETANIOS: Stata module to perform Kapetanios (2005) unit-root test with up to 5 structural breaks

Author

Listed:
  • Ozan Eruygur

    (AHBV University, Ankara, Turkiye)

Programming Language

Abstract

kapetanios implements Kapetanios' (2005) unit root test. The main advantage of this procedure is that it allows for up to 5 structural breaks, with break dates endogenously estimated from the data. Under the alternative hypothesis of trend stationarity, these breaks may occur in the level and/or trend of the series. To reflect this, three model specifications are available: intercept breaks only (Model A), trend breaks only (Model B), and both intercept and trend breaks (Model C, the default), each with tabulated critical values. The test regression augments the standard ADF equation with structural break dummies and lagged differences of the dependent variable to control for serial correlation. To determine the appropriate lag length, kapetanios supports four selection methods: the sequential t-test of Ng and Perron (1995) as used in the original paper (default), a Breusch-Godfrey LM test based general-to-specific (GTS) procedure, AIC, and BIC. For the AIC and BIC methods, a post-selection Breusch-Godfrey test is automatically performed and a warning is issued if autocorrelation remains.

Suggested Citation

  • Ozan Eruygur, 2026. "KAPETANIOS: Stata module to perform Kapetanios (2005) unit-root test with up to 5 structural breaks," Statistical Software Components S459669, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459669
    Note: This module should be installed from within Stata by typing "ssc install kapetanios". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
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    File URL: http://fmwww.bc.edu/repec/bocode/k/kapetanios.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/k/kapetanios.sthlp
    File Function: help file
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