Papell-Prodan(2006) Unit Root Tests with Breaks

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Papell-Prodan(2006) Unit Root Tests with Breaks

Postby TomDoan » Sat Sep 24, 2011 8:56 am

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
(25.54 KiB) Downloaded 210 times
TomDoan
 
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Re: Papell-Prodan(2006) Unit Root Tests with Breaks

Postby Tony » Sun Sep 25, 2011 3:12 am

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.
Tony
 
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Re: Papell-Prodan(2006) Unit Root Tests with Breaks

Postby TomDoan » Sun Sep 25, 2011 9:34 am

You need to get the updated PERRONBREAKS procedure off the link in the original post.
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Re: Papell-Prodan(2006) Unit Root Tests with Breaks

Postby T_FIELD » Wed Aug 08, 2012 9:57 am

Dear Dr. Tom Doan,

Could you help me?

I would like to use PERRONBREAKS.src, but I do not go along with computation of critical values using Monte Carlo.
I am more than happy if you give me the code.

Thanking in advance for your trouble.

T_FIELD
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