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URVOL: Stata module to compute Unit-root tests robust to non-stationary (time-varying) volatility

Author

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  • Merwan Roudane

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Abstract

urvol implements a family of unit-root tests designed to remain valid, and to gain power, when the innovation variance is not constant over the sample -the "unstable" or "non-stationary" volatility case. Permanent changes in variance (level shifts, trends in variance, smooth transitions, integrated volatility) are pervasive in macroeconomic and financial time series (exchange rates, interest rates, output, asset prices). As Cavaliere (2004) shows, such variance dynamics make the standard Dickey-Fuller (DF) and Phillips-Perron (PP) tests size-distorted: an early negative or late positive variance change can push the empirical rejection frequency well above (or below) the nominal level, invalidating the usual critical values.

Suggested Citation

  • Merwan Roudane, 2026. "URVOL: Stata module to compute Unit-root tests robust to non-stationary (time-varying) volatility," Statistical Software Components S459788, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459788
    Note: This module should be installed from within Stata by typing "ssc install urvol". 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/u/urvol.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/u/urvol.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/u/urvol_beare.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/u/urvol_bzu.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/u/urvol_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/u/urvol_wbdf.sthlp
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