Program Downloads

Tests for Unit Roots

The DF-GLS test from Elliott, Rothenberg and Stock (1996, Econometrica):

STATA (STATA page with download) 

EVIEWS (http://www.eviews.com/eviews6/eviews6/features/ev6features3.html).

The Q statistic from Mueller and Elliott (2003, Econometrica) :

Matlab code (qstat0.m)

Tests for Breaks

The qll statistic of Elliott and Mueller (2006, Review of Economic Studies)

Stata (programmed by Christopher Baum, http://ideas.repec.org/c/boc/bocode/s456862.html)