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st: Clemente, Montanes, Reyes unit root tests with structural breaks


From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Clemente, Montanes, Reyes unit root tests with structural breaks
Date   Wed, 14 Jul 2004 16:34:08 -0400

TITLE
'CLEMAO_IO': module to perform unit root tests with one or two structural breaks

DESCRIPTION/AUTHOR(S)

These routines perform the two-break unit root tests described by
Clemente, Montanes, Reyes (1998) and the simpler one-break tests
of Perron and Vogelsang (1992). They model both the additive
outlier (AO) scheme and the innovational outlier (IO) schemes.

Distribution-Date: 20040714

Author: Christopher F Baum, Boston College
Support: email [email protected]

Available from SSC.

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