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LTSCOINT: Stata module to perform Least Trimmed Squares estimation of a cointegrated ADL with outliers

Author

Listed:
  • Merwan Roudane

Programming Language

Abstract

ltscoint implements the Least Trimmed Squares (LTS) estimator for the autoregressive distributed lag model in equilibrium-correction form analysed by Berenguer-Rico and Nielsen (2026), "Least Trimmed Squares: Cointegration and Outliers", Oxford Bulletin of Economics and Statistics 88, 690-711 (doi:10.1111/obes.70077). The h-subsample with the smallest residual sum of squares is found by the FAST-LTS concentration-step algorithm of Rousseeuw and Van Driessen (2006) or by exact enumeration; the remaining T-h observations are the outliers. Using the authors' oracle result, inference is OLS on the retained observations. The command reports full-sample OLS and LTS side by side: the coefficient table, PcGive-style mis-specification tests, the long-run cointegrating coefficients with delta-method standard errors, the Harbo-Johansen-Nielsen-Rahbek LR test (Gamma-approximation p-values from Doornik 1998, 2003) and the Ericsson-MacKinnon (2002) ECM t-test of no cointegration, weak-exogeneity regressions, and the identified outliers. A subcommand profiles the cumulant normality statistic over h to determine the number of outliers, and graph subcommands draw the paper's mis-specification and data figures.

Suggested Citation

  • Merwan Roudane, 2026. "LTSCOINT: Stata module to perform Least Trimmed Squares estimation of a cointegrated ADL with outliers," Statistical Software Components S459892, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459892
    Note: This module should be installed from within Stata by typing "ssc install ltscoint". 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/l/ltscoint.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/l/ltscoint.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/l/ltscoint_methods.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/l/ltscoint_example.do
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    File URL: http://fmwww.bc.edu/repec/bocode/l/ltscoint_ukcons.dta
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