*! version 1.0.1 16may2026

Title

ralslm -- RALS-LM unit-root test of Meng, Im, Lee & Tieslau (2014)

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Overview |
adf |
lm |
lm-breaks |
f-adf |
f-kss |
battery |
coint |
f-adl |
diag

Syntax

ralslm varname [if] [in] [, maxlags(#) ic(string) graph noheader]

Description

ralslm performs the two-stage RALS Lagrange-Multiplier unit-root test
of Meng, Im, Lee & Tieslau (2014). The series is first detrended
Schmidt-Phillips style; the LM statistic is then computed on the detrended
residuals and corrected via the RALS w-augmentation built from the second
and third moments of the regression residuals.

The deterministic component is fixed at a linear trend (model 2 of the GAUSS
source rals_lm.src); for a constant-only model use ralsadf.

Options

maxlags(#) maximum lag of Ds_t considered (default 8).

ic(string) aic, bic or tstat (default).

graph draws a time-series plot with the RALS-LM statistic.

noheader omits the header.

Examples

. sysuse sp500, clear

. gen t = _n

. tsset t

. ralslm close

. ralslm close, ic(bic) graph

Stored results

r(tauLM) stage-1 LM statistic

r(tauRALS) RALS-LM statistic

r(rho2) estimated rho^2

r(lag) lag length selected

r(T) sample size used

r(cv01_LM), r(cv05_LM), r(cv10_LM) stage-1 LM critical values

r(cv01), r(cv05), r(cv10) stage-2 RALS critical values

References

Meng, M., Im, K.S., Lee, J., Tieslau, M.A. (2014). More powerful LM unit-root tests with non-normal errors. In Festschrift in Honor of Peter Schmidt, 343-357.

See also

Back to overview: rals

Unit-root tests: ralsadf, ralslm, ralslmb, ralsfadf, ralsfkss

Battery (run-all): ralsbattery

Cointegration tests: ralscoint, ralsfadl

Diagnostics: ralsdiag

Author

Dr Merwan Roudane -- merwanroudane920@gmail.com