TSP programs for unit root tests from Hall and Mairesse (2003)

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Table	TSP Programs	Description
	unit	Download all programs as a zip file
Table 2a	simcmle	simulate 8 DGPs and estimated by CML with homoskedastic errors
	simcmlehs2	simulate 8 DGPs with HS and estimate by CML with homoskedastic errors
Table 2b	simcmlehs	simulate 8 DGPs and estimate by CML with heteroskedastic errors
	simcmlehshs	simulate 8 DGPs with HS and estimate by CML with heteroskedastic errors
Table 3	simhtest	Harris-Tzavalis unit root test with simulated homoskedastic data
	simhths	Harris-Tzavalis unit root test with simulated heteroskedastic data
	simols	Pooled OLS unit root test with simulated homoskedastic data
	simolshs	Pooled OLS unit root test with simulated heteroskedastic data
Table 4	simips0	IPS unit root test with simulated homoskedastic data
	simips0h	IPS unit root test with simulated heteroskedastic data
Table 6	htest	Harris-Tzavalis unit root test with actual data
	ips0test	IPS unit root test on actual data
	olstest	Pooled OLS unit root test on actual data
Table 7	oneml	CML estimation with homoskedastic errors on actual data
	onemlhs	CML estimation with heteroskedastic errors on actual data
Procs	simprocs	simulate 8 different DGPs with homoskedastic errors
used	simhsprcs	simulate 8 different DGPs with heteroskedastic errors
	cmlecx/cmlec	estimate a univariate time series model by CMLE using ML PROC
	cmlehsx/cmlehs	estimate a univariate time series model with HS by CMLE using ML PROC
App C	simolsiv2	OLS, within, differences on simulated data with instruments
	simlsdv	Within estimation on simulated data
	simolsiv

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Updated by Bronwyn H. Hall on 8 May 2004