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MINDF: Stata module to perform HLT unit root tests with up to three breaks in trend (Harvey, Leybourne and Taylor, 2013)

Author

Listed:
  • Ozan Eruygur

    (Ankara Haci Bayram Veli University)

Programming Language

Abstract

mindf computes the minimum Dickey-Fuller unit root tests of Harvey, Leybourne and Taylor (2013, Journal of Econometrics) allowing for up to three breaks in the linear trend. Trend breaks are permitted under both the unit root null and the trend-stationary alternative, so the tests remain valid when breaks occur in a unit root process. The ADF lag order is selected by the MAIC of Ng and Perron (2001) computed on OLS-detrended residuals, following Perron and Qu (2007).

Suggested Citation

  • Ozan Eruygur, 2026. "MINDF: Stata module to perform HLT unit root tests with up to three breaks in trend (Harvey, Leybourne and Taylor, 2013)," Statistical Software Components S459810, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459810
    Note: This module should be installed from within Stata by typing "ssc install mindf". The module is made available under terms of the MIT license (https://opensource.org/licenses/MIT).
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/m/mindf.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/m/mindf.sthlp
    File Function: help file
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