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 (Zip file) [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 (Zip file) [Computes the four recommended tests and associated critical values, for nominal 5%-level tests]
- py (Zip file) [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 (Zip file) [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 (Zip file) [Computes simulation results for Figure 1]
- limfigs2-3 (Zip file) [Computes simulation results for Figures 2 and 3]
- finfigs4-5 (Zip file) [Computes simulation results for Figures 4 and 5]
- limfig6 (Zip file) [Computes simulation results for Figure 6]
- limfig7 (Zip file) [Computes simulation results for Figure 7]
- finfig8 (Zip file) [Computes simulation results for Figure 8]
- finfig9 (Zip file) [Computes simulation results for Figure 9]
Gauss code for Harvey, D.I. and van Dijk, D. J. (2006), "Sample size, lag order and critical values of seasonal unit root tests", Computational Statistics and Data Analysis, 50, 2734-2751:
- cvs (Zip file) [Contains two files that provide critical values and probability values]