Last modified: 2002 Jan 14

Junsoo Lee's Unit Root Routines

  • All in a .zip file (urootlee.zip)
  • Amsler and Lee (1995, Econometric Theory) LM unit root test (AL.txt)
  • Data Set (panelcri.dat)
  • Lumsdain and Papell (1997, Restat) minimum LM unit root test with two breaks (LPtwo.txt)
  • Augmented Dickey Fuller Tests (adf.txt)
  • Zivot and Andrews (1991, JBES) (za.txt)
  • Transformation tests using Fixed truncation lag (sp1.txt)
  • KPSS test (kpss.txt)
  • Lee and Strazicich (1999, WP) (LS.txt)
  • Lee and Strazicich (1999, WP) (LStwo.txt)
  • Perron (1989, Econometrica) (perron.txt)
  • Im and Lee, Panel LM Unit Root Test with Level Shifts, WP, 2001 (Panel_SP.txt)
  • Panel LM test with breaks (panel_ls.txt)
  • Lee and Strazicich Min LM test with two breaks (Panel_tw.txt)