Gauss Code

Gauss code for Harvey, D.I., Leybourne, S. J. and Taylor, A. M. R. (2011), "Testing for unit roots in the possible
presence of multiple trend breaks using minimum Dickey-Fuller statistics":
mindf.gp [Computes the 1-break and 2-break recommended tests (MDF₁ and MDF₂) and gives 5%-level critical values]

Gauss code for Harvey, D.I., Leybourne, S. J. and Taylor, A. M. R. (2011), "Unit root testing under a local break in
trend", Journal of Econometrics, forthcoming:
locbrk.gp [Computes the four recommended tests and associated critical values, for nominal 5%-level tests]
py.src [Source code file required for locbrk.gp: code provided by Pierre Perron and Tomoyoshi Yabu]

Gauss code for Cavaliere, G., Harvey, D.I., Leybourne, S. J. and Taylor, A. M. R. (2011), "Testing for unit roots in the presence of a possible break in trend and nonstationary volatility", Econometric Theory, 27, 957-991:
chlt.gp [Computes the four recommended tests and bootstrap critical values for nominal 5%-level tests]

Gauss code for Harvey, D.I., Leybourne, S. J. and Taylor, A. M. R. (2009), "Unit root testing in practice: dealing with uncertainty over the trend and initial condition", Econometric Theory, 25, 587-636:
limfig1.gp [Computes simulation results for Figure 1]
limfigs2-3.gp [Computes simulation results for Figures 2 and 3]
finfigs4-5.gp [Computes simulation results for Figures 4 and 5]
limfig6.gp [Computes simulation results for Figure 6]
limfig7.gp [Computes simulation results for Figure 7]
finfig8.gp [Computes simulation results for Figure 8]
finfig9.gp [Computes simulation results for Figure 9]

RESEARCH OVERVIEW

NON-STATIONARY
TIME SERIES METHODS

BOOTSTRAP AND
NUMERICAL METHODS

PANEL DATA METHODS
AND APPLICATIONS

GAUSS CODE