Last modified: 2005 Dec 22

UNIT ROOTS AND COINTEGRATION

• MIC Lag Length Selection with Unit Root Tests (Ng Sep00). Free for academic use.
  [archived copy with Ng and Perron's supporting paper]
• Multiple structural changes (Perron 01), with Bai and Perron's supporting paper. (Check Perron's website for most recent version.)
• Fully-modified Least Squares (Begoña Eguía Mar02). Be sure to read the help file.
• A collection of unit root and cointegration tests (Lee Dec01)
• Peter Reinhard Hansen's MLECO cointegration procedure for structural change analaysis. "Features: Determine the lag length. The number of cointegrating relations. Test simple linear restrictions on the cointegrating relations. Test for structural changes in the cointegrating relations." (Hansen May00). (Look here for most recent version.)
• Programs and data for Hansen (1995 ET). (Most recent version.) In the .zip file: (1) UR_REG produces the coefficient and studentized statistics for unit roots outlined in the above paper, (2) LR_VAR calculates a "Long-Run Variance" for a vector-valued series, using the suggestions of Andrews (1991), (3) UR_CRITS gives asymptotic critical values for the unit root tests, (4) UR_ADF calculates ADF unit root tests.
  Reference: Hansen, Bruce E. Hansen, 1995, "Rethinking the univariate approach to unit root tests: How to use covariates to increase power" Econometric Theory (1995)
• A collection of unit root and cointegration tests (Gambera and Strellec, Dec97)
• threshold autoregressions, constrained and unconstrained. (Caner and Hansen, 2001), with associated paper. (Most recent version.)
• Testing for threshold cointegration in VECM models. (Hansen and Seo, 2001) (Most recent version.)
• residual-based cointegration tests. (Gregory and Hansen 1996) (Most recent version.)
• FM-OLS estimation of cointegrating regressions using an automatic bandwidth. (Hansen 1992) (Most recent version.)
• Johansen (1988) Cointegration Tests (Bhati, Jan98)
• Johansen (1988) Cointegration Tests (de Lima, May93)
• A straightforward implementation of the Johansen (1988) Cointegration Tests (Isaac & Rapach)
• Unit Root Tests including Augmented Dickey-Fuller (Isaac and Rapach, May96) and KPSS (Rapach, May96).
• KPSS stationarity test kpss.gpr (Jönsson 2004)
• King-Plosser-Stock-Watson (Proietti, Sep97) implements the results in the paper T. Proietti: "Short run dynamics in cointegrated systems" Oxford Bull. of Econ. & Stats, vol 59, n.3, August 1997.
• In addition, be sure to look Dave Chapman's CCR archive of Ogaki's cointegration routines.