Title

xtpdroot -- Second-generation panel unit-root and stationarity tests
robust to cross-sectional dependence

Description

xtpdroot collects panel unit-root and stationarity tests that control
for cross-sectional dependence through common factors (the PANIC approach) and,
where relevant, structural breaks. Commands read the panel from xtset,
return everything in r(), and ship cross-linked help with a companion
methods page. It complements xtflexur (factor-based panel unit-root
tests) and flexur (single-series tests).

Commands

command

Panel stationarity
xtpstat CSD-robust panel stationarity tests: Yin-Wu (2000),
Bai-Ng (2005) PANIC, and Hadri-Kurozumi (2012) cross-section-augmented KPSS

Panel unit root with breaks
xtbreaklm panel LM unit-root tests with structural breaks:
Enders-Lee flexible-Fourier (smooth) and Lee-Tieslau two-break (sharp)

xtfaclm factor-augmented panel LM unit-root test with two breaks
(PANIC + Lee-Strazicich)

xtpanicsb PANIC panel unit-root test with sharp breaks and the MSB
statistic (Bai-Carrion 2009)

Panel causality
xtpdcause CSD-robust panel Granger causality (lag-augmented VAR
with PANIC / PANIC-CA factor correction)

Further xtpdroot commands (PANIC with sharp breaks, panel Lagrange-multiplier
tests with breaks, factor-corrected panel causality) build on the same factor
engine and are documented under their own help files.

Author

Dr Merwan Roudane

merwanroudane920@gmail.com

github.com/merwanroudane