I need Stata/E-views/R code for kapetanios Test. Can anyone share the code here ?

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Akram Shavkatovich Hasanov

Do you mean the test advocated in Kapetanios, Shin, and Snell (2003)?

Esra Alp Coşkun

Yes I mean, Kapetanios, Shin, and Snell (2003). Maybe I am not so familiar with Stata for time series, that link didnt help. I generally, install a package and then use the command and get results. It seemed very complicated such as a source code..