Papell-Prodan(2006) Unit Root Tests with Breaks

[TomDoan]

This is a replication for the unrestricted break models from Papell and Prodan(2006), "Additional Evidence of Long Run Purchasing Power Parity with Restricted Structural Change", Journal of Money, Credit and Banking, vol. 38, no 5, 1329-1349. This uses the @PerronBreaks procedure with one and two breaks. (@PerronBreaks was updated in September 2011).

The QPPP models are unit root tests with non-trending deterministics and additive mean shifts (AO=MEAN option), while the TQPPP models use trending deterministics with additive mean shifts (AO=CRASH option).

pp2006.rpf

Program file

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alan taylor data.wf1

Data file

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[Tony]

Dear Tom,

When I run the pp2006 code，I got the following:

## SX11. Identifier %%SHIFTS is Not Recognizable. Incorrect Option Field or Parameter Order?
>>>>(%minent) %%shifts(<<<<

for your information, I am using RATS 8.0. May I know Why this output? Tks.

[TomDoan]

You need to get the updated PERRONBREAKS procedure off the link in the original post.