xtbunitroot: Stata module for unit root tests in panel data with structural breaks.
The easiest way to install the xtgranger package is by typing in Stata: "ssc install xtbunitroot".
Alternatively, the xtbunitroot.ado and xtbunitroot.sthlp files can be manually downloaded in Stata's ado directory.
The data and do-file used in the example:
More information on the command can be found in the Stata Journal article: