The RATS Software Forum

Hello,

I was wondering if there are codes for the Quantile unit root test by Koenker and Xiao (2004). Basically, the test is an extension to the standard ADF unit root test. The tricky part (at lease for me) is simulating the t-values and their p-values. Any help is highly appreciated.

Thanks,
Sal

If you can do the test, can't you relatively easily do the simulations of it?