PERRONRODRIGUEZ Procedure

@PerronRodriguez does the Perron-Rodriguez(2003) test for unit roots using GLS detrending, allowing for a break point at an unknown date.

@PerronRodriguez( options ) series start end

Parameters

series	series to test
start, end	range of series to use. By default, the defined range of series.

Options

MAXLAGS=maximum number of lags in the auxiliary regression [depends on obs]

MINLAGS=minimum number of lags in the auxiliary regression [0]

BREAK=TREND/[BOTH]

Determines whether the break is just to the trend rate, or to the trend rate and level.

PI=fraction of entries on each end of data to exclude as break points [.10]

SELECTBY=[TEST]/TSTAT

Determines whether to select the break point by the most extreme unit root test [SELECTBY=TEST], or the largest absolute value of the t-statistic for the trend break dummy [SELECTBY=TSTAT]. The authors prefer the default.

[PRINT]/NOPRINT

TEST=[ADF]/MZT/PT

Determines which test statistic for unit root is used. ADF is the standard augmented Dickey-Fuller test, MZT is the modified Z-test and PT is the point-optimal Pt test.

Variables Defined

%CDSTAT	test statistic (minimum t-stat) (REAL)
%MINENTRY	entry at which %CDSTAT is achieved (INTEGER)