The RATS Software Forum

Hi,

I am struggling with my PhD and was really hoping someone would be kind enough to share with me a code for implementing unit root test with 2 structural breaks, as the one described in either "Multiple trend breaks and the unit-root hypothesis" by Lumsdaine and Papell (1997), or in "Minimum lagrange multiplier unit root test with two structural breaks" by Lee and Strazicich (2003).

I found the codes for GAUSS, but I do not have time to learn how GAUSS works as my presentation is only in a couple of weeks.

I really appreciate the help!
Ana

(The procedure originally inserted here has been revised and moved to the RATS procedures area)

Tom Doan
Estima

Hi TomDoan,

I can't thank you enough for your reply helping me alot with my work!

Ana

Hello TomDoan!

I'm using the procedure of rats to "Lee-Strazicich Unit Root" and I have a doubt about the output. An Example:

Lee-Strazicich Unit Root Test, Series QCVEN
Regression Run From 1971:03 to 2006:04
Observations 141
Crash Model with 1 breaks
With 1 chosen from 5

Variable Coefficient Std Error
S{1} -0.0896 -2.7737
Constant 0.0062 0.9871
D(1986:04) 0.2750 4.2558


My doubt is whether the numbers in the column "Std Error" are standard errors rather than t-student statistics. This numbers are really the standards errors?

Thanks for your attention,

Anchieta