*! version 1.0.1 16may2026

Title

ralslmb -- RALS-LM unit-root test with 1 or 2 structural breaks (Meng, Lee & Payne 2017)

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

Syntax

ralslmb varname [if] [in] [,
model(#)
breaks(#)
maxlags(#)
ic(string)
trimm(#)
graph
noheader]

Description

ralslmb extends ralslm to allow up to two endogenously
located structural breaks. Following the GAUSS code rals_lm_breaks.src the
optimal break date(s) are found by a grid search that minimises the LM
statistic. The RALS w-augmentation is then evaluated at the chosen breaks
and lag length. Critical values are from Meng, Lee & Tieslau (2014) for
model 1 and Meng, Lee & Payne (2017) for model 2, interpolated across rho^2.

Options

model(#) 1 = level break(s) only (Meng-Im-Lee-Tieslau 2014).
2 = level + trend break(s) (Meng-Lee-Payne 2017). Default 2.

breaks(#) 1 or 2. Default 1.

maxlags(#) maximum number of Ds_ lags (default 8).

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

trimm(#) trimming for the break search; 0.10 follows ZA/LS.

graph plots the series with the estimated break date(s) marked.

noheader omits the header.

Examples

. ralslmb gdp, model(2) breaks(2) graph

. ralslmb forest_footprint, model(1) breaks(1) maxlags(6) ic(bic)

Stored results

r(LMmin) minimised LM statistic

r(tauRALS) RALS-LM statistic

r(rho2) estimated rho^2

r(lag) lag length selected

r(tb1), r(tb2) break dates (time-series indices)

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

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

References

Meng, M., Lee, J., Payne, J.E. (2017). RALS-LM unit-root test with trend breaks and non-normal errors: application to the Prebisch-Singer hypothesis. Studies in Nonlinear Dynamics & Econometrics 21(1): 31-45.

Nazlioglu, S., Lee, J. (2020). Response surface estimates of the LM unit-root tests. Economics Letters 192: 109136.

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