xtrec
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Xtrec
Description
Implements the recursively detrended panel unit root tests proposed by Westerlund (2015) <doi:10.1016/j.jeconom.2014.06.015>. Two variants are provided: the basic t-REC test assuming iid errors, and the robust t-RREC test that accounts for serial correlation, cross-sectional dependence, and heteroskedasticity via defactoring and BIC-selected lag augmentation. Both tests have a standard normal null distribution requiring no mean or variance correction. The panel must be strongly balanced.
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