This Repositiry includes estimators and test statistics for non-stationary processes, which I wrote with software RATS (Regression Analysis for Time Series)1 between 1998 and 2004. You'll find the following routines:
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fmols.scr: performs fully modified estimation of cointegrating regressions between a pair of variable, using an automatic bandwidth. It also tests for the constancy of the cointegrating regressions using the Hansen's (1992)
$L_c$ test of parameter instability; see Hansen, B. E., 1992, Tests for parameter instability in regressions with I(1) processes, Journal of Business & Economic Statistics, 10(3), pp. 321-335. The code slightly followed Peter Pedroni's group-fm.prg/pangroup.prg_, which no longer exist to my knowledge. I aplied significant modifications made to his program. Peter's original code was later extended to panelfmprocedure by the Estima team. The estimation and test are performed for a pure time series model. I wrote this routine in 2002 while I was research associate in the Centre for Competition Policy at University of East Anglia, Norwich. Estima applied corrections to the routine notably to handle command options; see the header within the fmols.src file at estima.com. I am writting down the different estimaiton steps in file fmols_theory, forthcoming ... - adfjtest.src ... forthcoming
Footnotes
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I'd like to thank Tom Doan for having developed RATS. ↩