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XTGUNITROOT: Stata module providing generalized fixed-T panel unit root test (doubly modified estimator)

Author

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  • Merwan Roudane

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Abstract

xtgunitroot implements the generalized fixed-T panel unit root test of Karavias and Tzavalis (2019), based on the {it:doubly modified estimator} (DME). Unlike the simpler fixed-T tests, the DME is robust to short-term serial correlation of unspecified form (up to order maxlag), heteroscedasticity and error cross-section heterogeneity, a common structural break at a known or unknown date, while remaining valid for a large number of cross-section units N and a small, fixed number of time periods T, and invariant to the initial condition.

Suggested Citation

  • Merwan Roudane, 2026. "XTGUNITROOT: Stata module providing generalized fixed-T panel unit root test (doubly modified estimator)," Statistical Software Components S459774, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459774
    Note: This module should be installed from within Stata by typing "ssc install xtgunitroot". 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/xtgunitroot.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgunitroot.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtgunitroot_example.do
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