Unit Root Tests with Structural Breaks and Fully-Modified Estimators
Bartlett Kernel for Consistent Estimate of Long-run Variance
Bartlett Kernel for Consistent Estimate of Long-run Variance
Bohman Kernel for Consistent Estimate of Long-run Variance
Cauchy Kernel for Consistent Estimate of Long-run Variance
Canonical Cointegrating Regression Estimator
Canonical Cointegrating Regression with Time Polynomial
Phillips' (1987) Za and Zt test for cointegration
Macroeconomic Time Series Data Sets, 1967M1-2025M7
Dirichlet Kernel for Consistent Estimate of Long-run Variance
Fully-Modified OLS Estimator
Fully-Modified GIVE Estimator
Fully-Modified GMM Estimator
Multivariate Fully-Modified OLS Estimator
Fully-Modified OLS Estimator with Time Polynomial
Forecast a FM-VAR System
Select the q in a FMVAR(p,q) by Specific Criterion
Fully-Modified VAR Estimator
Gregory-Hansen Test for Cointegration in Models with Regime Shifts
Gauss-Weierstrass Kernel for Consistent Estimate of Long-run Variance
KPSS Unit Root Test with One Structural Break
KPSS Unit Root Test with Two Structural Breaks
KPSS Unit Root Test for the null of stationarity
Bartlett Kernel for Consistent Estimate of Long-run Variance
Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
Modified Dirichlet Kernel for Consistent Estimate of Long-run Variance
Parzen Kernel for Consistent Estimate of Long-run Variance
Parzen Kernel for Consistent Estimate of Long-run Variance
Phillips and Perron Unit Root Test
Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
Quadratic-Spectral Kernel for Consistent Estimate of Long-run Variance
Reisz Kernel for Consistent Estimate of Long-run Variance
Bartlett Kernel for Consistent Estimate of Long-run Variance
Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
Stock-Watson Common Trends Statistic
Tukey-Hamming Kernel for Consistent Estimate of Long-run Variance
Tukey-Hanning Kernel for Consistent Estimate of Long-run Variance
Zivot-Andrews unit root test with unknown one structural break.
Zivot-Andrews unit root test with unknown one structural break.
Phillips' (1987) Za and Zt Test for Unit Root
Procedures include Phillips (1995) FMVAR <doi:10.2307/2171721>, Kitamura and Phillips (1997) FMGMM <doi:10.1016/S0304-4076(97)00004-3>, Park (1992) CCR <doi:10.2307/2951679>, and so on. Tests with 1 or 2 structural breaks include Gregory and Hansen (1996) <doi:10.1016/0304-4076(69)41685-7>, Zivot and Andrews (1992) <doi:10.2307/1391541>, and Kurozumi (2002) <doi:10.1016/S0304-4076(01)00106-3>.