Do anyone Know if there is some procedure to perform Lumsdaine and Papel test for unit roots breaks in stata or gretl?

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Carmen Garcia-Prieto

Hi.

Have a look at this paper:

https://core.ac.uk/download/pdf/4187331.pdf

The authors say they have the stata code and it is available upon request.

Maybe you can find this useful too (eviews):

http://forums.eviews.com/viewtopic.php?t=902

Julio Herrera

Thanks Carmen. I Know the procedure un Gauss using in the paper. I am interested there is some for stata and gretl