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URTABLE: Stata module to perform ADF, DF-GLS, PP, and KPSS unit-root tests with data-driven lag/bandwidth selection

Author

Listed:
  • Y. Baris Altayligil

    (Istanbul University, Department of Economics)

Programming Language

Abstract

urtable reports four unit-root and stationarity tests on a single time series in one comparison table: the augmented Dickey-Fuller (ADF), the Elliott-Rothenberg-Stock GLS-detrended DF (DF-GLS) in three variants based on different lag-selection criteria, the Phillips-Perron (PP), and the Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test. All lag lengths and bandwidths are chosen data-driven. The output table includes critical values at 1%, 5%, and 10%, decision flags, and a one-sentence conclusion at the 5% level that aggregates the evidence across the four tests.

Suggested Citation

  • Y. Baris Altayligil, 2026. "URTABLE: Stata module to perform ADF, DF-GLS, PP, and KPSS unit-root tests with data-driven lag/bandwidth selection," Statistical Software Components S459721, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459721
    Note: This module should be installed from within Stata by typing "ssc install urtable". 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/u/urtable.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/u/urtable.sthlp
    File Function: help file
    Download Restriction: no
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