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BOOTUR: Stata module to perform bootstrap unit root tests for single series, multiple series and panels

Author

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  • Merwan Roudane

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Abstract

bootur is a Stata port of the R package bootUR (Smeekes and Wilms, 2023). It performs a wide range of bootstrap augmented Dickey-Fuller (ADF) unit root tests for individual time series, several time series jointly, and panel data. It also computes the standard (asymptotic) ADF test with MacKinnon (1996) p-values, determines the order of integration of each series, and provides differencing and missing-value/order diagnostics. Data are supplied as one or more numeric variables in wide form (each variable is one time series, rows are time). Series may have different starting and end points (unbalanced): the leading/trailing missing values of each series are handled automatically. Internal missing values (gaps) are not allowed. Six bootstrap schemes are available. The moving-block (MBB) and sieve (SB) bootstraps resample and cannot be used with unbalanced panels for the joint tests; the wild schemes (BWB, DWB, AWB, SWB) can. The union test takes the union of rejections over intercept/trend and OLS/QD (GLS) detrending (Harvey, Leybourne and Taylor, 2012; Smeekes and Taylor, 2012) and needs no choice of deterministic component. See help bootur methods for the underlying algorithm and its mapping to the equations in the references.

Suggested Citation

  • Merwan Roudane, 2026. "BOOTUR: Stata module to perform bootstrap unit root tests for single series, multiple series and panels," Statistical Software Components S459807, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459807
    Note: This module should be installed from within Stata by typing "ssc install bootur". 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/b/bootur.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/b/bootur.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/b/bootur_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/b/bootur_methods.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/m/MacroTS.dta
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