------------------------------------------------------------------------------- help forclemao1, clemio1-------------------------------------------------------------------------------

Clemente, Montanes, Reyes unit root tests with one structural break

clemao1varname[ifexp] [inrange] [,maxlag(#)trim(#)graph]

clemio1varname[ifexp] [inrange] [,maxlag(#)trim(#)graph]

clemao1andclemio1are for use with time-series data. You musttssetyour data before using these routines.Varnamemay contain time-series operators.clemao1andclemio1may be applied to a single time series within a panel with theifqualifier or thebyprefix.

Description

clemao1computes the additive outlier unit root test forvarname, allowing for a single structural break.

clemio1computes the innovational outlier unit root test forvarname, allowing for a single structural break.These tests are modified from those described by Clemente, Montanes and Reyes (1998) as providing a test for stationarity in the presence of a single structural break in the series (rather than the two breaks identified by their routines). Critical values are taken from Perron and Vogelsang (1992), Table 3 (clemao1) and Table 4 (clemio1) for T=150.

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).

graphspecifies that a graph of the (differenced) series and the sequences of t-ratios from the breakpoint test should be generated.

Examples. webuse wpi1

. clemao1 wpi . clemio1 D.wpi . clemao1 wpi, trim(0.10) graph . clemio1 wpi, maxlag(6) trim(0.10)

ReferencesClemente, 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.

AuthorsChristopher F. Baum (baum@bc.edu) Boston College

Also seeManual:

[TS] dfullerOn-line: dfuller, zandrews (if installed)