Clemente, Montanes, Reyes unit root tests with one structural break
clemao1 varname [if exp] [in range] [ , maxlag(#) trim(#) graph ]
clemio1 varname [if exp] [in range] [ , maxlag(#) trim(#) graph ]
clemao1 and clemio1 are for use with time-series data. You must tsset your data before using these routines. Varname may contain time-series operators. clemao1 and clemio1 may be applied to a single time series within a panel with the if qualifier or the by prefix.
Description
clemao1 computes the additive outlier unit root test for varname, allowing for a single structural break.
clemio1 computes the innovational outlier unit root test for varname, 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).
graph specifies 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) 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, zandrews (if installed)