The RATS Software Forum

Posted: **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; (3.57 KiB) Downloaded 1312 times

alan taylor data.wf1: Data file; (25.54 KiB) Downloaded 1196 times

Posted: **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.

Posted: **Sun Sep 25, 2011 9:34 am**

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

The RATS Software Forum

Papell-Prodan(2006) Unit Root Tests with Breaks

Papell-Prodan(2006) Unit Root Tests with Breaks

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

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