Title

ffrals -- Flexible-Fourier form + RALS unit-root tests for
non-normal errors

Description

ffrals is a library of single-series unit-root tests that combine the
flexible Fourier form for an unknown number of smooth structural breaks with
residual-augmented least squares (RALS) corrections for non-normal errors,
following Lee, Islam, Tieslau, Payne and Nazlioglu. Each test is available in a
plain, a RALS, and a factor-augmented (RALS2) variant.

Commands

command

ffrals Flexible-Fourier LM test (rals(0/1/2))

ffadf Flexible-Fourier ADF test (rals(0/1/2), det())

fflm2 Two-break LM test (rals(0/1/2))

All three share the rals() interface (plain / RALS / factor-augmented).
ffrals and ffadf obtain p-values by Monte-Carlo simulation of the
null distribution; fflm2 uses tabulated (deterministic) critical values.

Author

Dr Merwan Roudane

merwanroudane920@gmail.com

github.com/merwanroudane