LPUNIT - Lumsdaine-Papell Unit Root Test with 2 breaks
Posted: Wed Jun 29, 2011 4:08 pmThis procedure implements the Lumsdaine-Papell unit root test, allowing for two breaks in the intercept, the trend or both at unknown locations.
Reference:
Lumsdaine and Papell(1997), "Multiple trend breaks and the unit root hypothesis", Review of Economics and Statistics, vol 79, 212-218.
The procedure actually allows for any number of breaks from 0 up. 1 break is the Zivot-Andrews test; the default of 2 is the LP test. The base model is
dy(t) = a + bt + r*y(t-1) + sum a(i) * dy(t-i)
The break variables are c I(t>=tb) or d max(0,t+1-tb) or both, where the break point tb is unknown and determined by finding the minimum value for the t-statistic for r=0. The number of lags of dy included can either be input, or can be selected automatically using AIC, BIC or general-to-specific pruning by t-tests. All of the automatic lag selections are applied to the base model
@LPUnit(options) series start end
Options:
BREAK=[INTERCEPT]/TREND/BOTH
Selects which variables are allowed to have a break
NBREAKS=0/1/[2] (actually can be any positive integer)
METHOD=[INPUT]/AIC/BIC/HQ/TTEST/GTOS
Selects the method for deciding the number of additional lags. If INPUT, the number of lags given by the MAXLAGS option is used. If AIC, the AIC-minimizing value between 0 and MAXLAGS is used; if BIC, it's the BIC-minimizing value, and if TTEST or GTOS, the number of lags for which the last included lag has a marginal significance level less than the
cutoff given by the SIGNIF option.
LAGS=number of additional lags (METHOD=INPUT)
MAXLAGS=number of additional lags (METHOD=INPUT) or the maximum number of lags to consider (other METHOD's) [number of observations**.25]
SIGNIF=cutoff significance level for METHOD=TTEST or GTOS[.10]
SMPL=SMPL series with entries to skip
PI=fraction of entries on each end of data to exclude as break points, and minimum gap between breakpoints [.10]
[PRINT]/NOPRINT
TITLE=title for report ["Lumsdaine-Papell Unit Root Test, Series ..."]
lpunit.src- Procedure file
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Reference:
Lumsdaine and Papell(1997), "Multiple trend breaks and the unit root hypothesis", Review of Economics and Statistics, vol 79, 212-218.
The procedure actually allows for any number of breaks from 0 up. 1 break is the Zivot-Andrews test; the default of 2 is the LP test. The base model is
dy(t) = a + bt + r*y(t-1) + sum a(i) * dy(t-i)
The break variables are c I(t>=tb) or d max(0,t+1-tb) or both, where the break point tb is unknown and determined by finding the minimum value for the t-statistic for r=0. The number of lags of dy included can either be input, or can be selected automatically using AIC, BIC or general-to-specific pruning by t-tests. All of the automatic lag selections are applied to the base model
@LPUnit(options) series start end
Options:
BREAK=[INTERCEPT]/TREND/BOTH
Selects which variables are allowed to have a break
NBREAKS=0/1/[2] (actually can be any positive integer)
METHOD=[INPUT]/AIC/BIC/HQ/TTEST/GTOS
Selects the method for deciding the number of additional lags. If INPUT, the number of lags given by the MAXLAGS option is used. If AIC, the AIC-minimizing value between 0 and MAXLAGS is used; if BIC, it's the BIC-minimizing value, and if TTEST or GTOS, the number of lags for which the last included lag has a marginal significance level less than the
cutoff given by the SIGNIF option.
LAGS=number of additional lags (METHOD=INPUT)
MAXLAGS=number of additional lags (METHOD=INPUT) or the maximum number of lags to consider (other METHOD's) [number of observations**.25]
SIGNIF=cutoff significance level for METHOD=TTEST or GTOS[.10]
SMPL=SMPL series with entries to skip
PI=fraction of entries on each end of data to exclude as break points, and minimum gap between breakpoints [.10]
[PRINT]/NOPRINT
TITLE=title for report ["Lumsdaine-Papell Unit Root Test, Series ..."]