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FFRALS: Stata module to provide Flexible-Fourier LM unit-root test with RALS and factor (RALS2) augmentation for non-normal errors

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

ffrals implements the flexible-Fourier LM unit-root test of Lee, Islam, Tieslau, Payne and Nazlioglu, in which an unknown number of smooth structural breaks is approximated by a single Fourier frequency (chosen by minimum residual sum of squares over 1..fmax) and the score-based LM statistic is computed by augmented regression. With rals(1) the regression is augmented by the residual-augmented least squares (RALS) terms, which exploit non-normality of the errors to gain power without nuisance parameters. With rals(2) the regression is further augmented by supplied common and group factors() (the RALS2 factor test), making the test robust to cross-sectional dependence when applied series-by-series to a panel.

Suggested Citation

  • Merwan Roudane, 2026. "FFRALS: Stata module to provide Flexible-Fourier LM unit-root test with RALS and factor (RALS2) augmentation for non-normal errors," Statistical Software Components S459818, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459818
    Note: This module should be installed from within Stata by typing "ssc install ffrals". 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/f/ffrals.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/f/ffrals.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/f/ffadf_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/f/fflm2_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/f/fflm2.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/f/fflm2.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/f/ffrals_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/f/ffrals_methods.sthlp
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