Thanks for a nice presentation, my question is a bit far from the topic but it is related to stata software, I am asking if the stata has a command for Lagrange multiplier LM by Lee and Strazicich (2003) for unit root test with two breaks, I have posted my question in stata forum but I haven't gotten help, so if you could help me. I am analysing time series data . Thanks
We don't currently have an official command for the test you are referring to. However, the community contributed command *clemao2* computes the test described by Clemente, Montanes and Reyes (1998), which corresponds to the additive outlier unit root test, allowing for two structural breaks. For any additional questions unrelated to tables, please email us at tech-support@stata.com.
