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KPERRONY: Stata module to determine the number and dates of structural breaks in cointegrated equations, with regime-wise estimates and stability tests

Author

Listed:
  • Ozan Eruygur

    (Ankara Haci Bayram Veli University)

Programming Language

Abstract

kperrony determines the number and dates of structural breaks in cointegrated equations (Kejriwal & Perron, 2010; Kejriwal, Perron & Yu, 2021). It reports the estimated break dates, regime-wise coefficient estimates with HAC standard errors, the Kejriwal-Perron-Yu (2021) two-step partial stability test for each coefficient, and the Arai-Kurozumi (2007) test of the null of cointegration at the estimated breaks, with simulated critical values. Serially correlated errors are handled through the robust versions of the tests, and endogenous I(1) regressors through the dynamic OLS leads and lags, both added automatically. Critical values are embedded for up to five breaks with 15 percent trimming.

Suggested Citation

  • Ozan Eruygur, 2026. "KPERRONY: Stata module to determine the number and dates of structural breaks in cointegrated equations, with regime-wise estimates and stability tests," Statistical Software Components S459804, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459804
    Note: This module should be installed from within Stata by typing "ssc install kperrony". 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/k/kperrony.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/k/kperrony.sthlp
    File Function: help file
    Download Restriction: no
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