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TSADVROOT: Stata module providing advanced time-series unit-root tests

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

tsadvroot is a library of modern univariate unit-root tests that go beyond the classical Dickey-Fuller framework in two directions: 1. Quantile-based testing. The qadf and fqadf subcommands test the unit-root hypothesis across the conditional quantiles of the series, so that persistence may differ in the lower, central and upper parts of the conditional distribution. fqadf additionally allows smooth structural changes of unknown form through a flexible Fourier component. 2. Structural breaks. The npadf subcommand allows two sharp breaks at unknown dates (in the level, or in the level and slope), and cisur implements the full Carrion-i-Silvestre, Kim and Perron (2009) battery of quasi-GLS-detrended tests with up to 3 estimated (or 5 known) breaks, with critical values from the authors' response surfaces.

Suggested Citation

  • Merwan Roudane, 2026. "TSADVROOT: Stata module providing advanced time-series unit-root tests," Statistical Software Components S459780, Boston College Department of Economics, revised 09 Jul 2026.
    • Handle: RePEc:boc:bocode:s459780
    Note: This module should be installed from within Stata by typing "ssc install tsadvroot". 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/t/tsadvroot.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tsadvroot.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tsadvroot_cisur.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tsadvroot_fqadf.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tsadvroot_npadf.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tsadvroot_qadf.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/t/tsadvroot_test.do
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