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LUMPAPELL: Stata module to perform Lumsdaine-Papell unit root test allowing for two unknown breaks

Author

Listed:
  • Ozan Eruygur

    (Ankara Haci Bayram Veli University)

Programming Language

Abstract

lumpapell implements the Lumsdaine-Papell unit root test, allowing for two breaks in the intercept, the trend or both at unknown locations (Lumsdaine & Papell, Review of Economics and Statistics, 1997). Four break specifications are available. Model AA lets both breaks shift the intercept; model CC lets each break shift both the intercept and the slope; model CA is the mixed case, in which the first break shifts the intercept and the slope and the second shifts the intercept only; and finally the break(trend) specification, which the article does not consider, lets each break shift the slope only. Lag lengths can be fixed or selected by information criteria or by the sequential t-test of Perron (1989). The command also writes the break dummies to the dataset and prints a plain regress command that reproduces the break regression.

Suggested Citation

  • Ozan Eruygur, 2026. "LUMPAPELL: Stata module to perform Lumsdaine-Papell unit root test allowing for two unknown breaks," Statistical Software Components S459856, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459856
    Note: This module should be installed from within Stata by typing "ssc install lumpapell". 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/l/lumpapell.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lumpapell.sthlp
    File Function: help file
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