Clemente, Montanes, Reyes unit root tests with two structural breaks
clemao2 varname [if exp] [in range] [ , maxlag(#) trim(#) graph ]
clemio2 varname [if exp] [in range] [ , maxlag(#) trim(#) graph ]
clemao2 and clemio2 are for use with time-series data. You must tsset your data before using these routines. Varname may contain time-series operators. clemao2 and clemio2 may be applied to a single time series within a panel with the if qualifier or the by prefix.
Description
clemao2 computes the additive outlier unit root test for varname, allowing for two structural breaks.
clemio2 computes the innovational outlier unit root test for varname, allowing for two structural breaks.
These tests are those described by Clemente, Montanes and Reyes (1998), providing tests for stationarity in the presence of a double structural break in the series.
Options
maxlag(#) specifies the maximum lag. It must be a positive integer. The default value is 12.
trim(#) specifies the fraction of the sample to trim from each end. It has a default value of five percent (0.05).
graph specifies that a graph of the series and the differenced series, with the breakpoints indicated, should be generated.
Examples
. webuse wpi1
. clemao2 wpi . clemio2 D.wpi . clemao2 wpi, trim(0.10) graph . clemio2 wpi, maxlag(6) trim(0.10) References
Clemente, J., Montanes, A., Reyes, M., 1998. Testing for a unit root in variables with a double change in the mean. Economics Letters 59, 175-182.
Perron, P., Vogelsang, T., 1992. Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics 10, 301-320.
Authors
Christopher F. Baum (baum@bc.edu) Boston College
Also see
Manual: [TS] dfuller On-line: dfuller,{help zandrews} (if installed)