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NARAYANP: Stata module to implement Narayan-Popp (2010) unit root test with two structural breaks

Author

Listed:
  • Ozan Eruygur

    (Ankara Haci Bayram Veli University)

Programming Language

Abstract

narayanp performs the Narayan and Popp (2010) Augmented Dickey-Fuller-type test for a unit root that allows for two structural breaks at unknown dates. The data-generating process is written as an unobserved-components model in which the breaks are modelled as innovational outliers, so that a break takes effect gradually rather than instantaneously (Narayan and Popp 2010, Eqs. 1-6). The test allows for breaks under both the unit-root null and the trend-stationary alternative, which reduces the spurious rejections that affect earlier ADF-type break tests. Two specifications are available, both for trending data: model M1 allows two breaks in the level, and model M2 allows two breaks in the level and in the slope. In both cases the test statistic is the t-ratio on the coefficient of y(t-1); the unit-root null is rho = 1.

Suggested Citation

  • Ozan Eruygur, 2026. "NARAYANP: Stata module to implement Narayan-Popp (2010) unit root test with two structural breaks," Statistical Software Components S459781, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459781
    Note: This module should be installed from within Stata by typing "ssc install narayanp". 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/n/narayanp.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/n/narayanp.sthlp
    File Function: help file
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