Codes

Codes_UR.rar - Ox-код для процедур, предложенных в Harvey, D.I., Leybourne, S.J., and Taylor, A.M.R. (2008). Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition. Granger Centre Discussion Paper No. 08/03, University of Nottingham. и Harvey, D.I., Leybourne, S.J., and Taylor, A.M.R. (2012). Testing for Unit Roots in the Presence of Uncertainty over Both the Trend and Initial Condition. Journal of Econometrics, 169, 188–195.

(Ox-code (with some modifications) provide the procedure for computing HLT test statistics, proposed articles above)

On GLS-detrending for detereministic seasonality testing - Ox-code to simulate critical values and power value for tests proposed in this paper

On Trend, Breaks and Initial Condition in Unit Root Testing - Ox-code for performing the tests with one break

On Trend, Breaks and Initial Condition in Unit Root Testing - Ox-code for simulating critical values (one break case)

Likelihood Ratio Test for Change in Persistence - Ox-code for performing the LR tests