HOW TO RUN GARCH UNIT ROOT TEST WITH 2 ENDOGENOUS BREAK DATES BY NARAYAN AND POPP 2010

I will be glad if you can assist me in running the code for this program.  i am using quarterly data from 2009 q1 to 2016q3.

kindly show me what i am to adjust from the codes to get the test result.  do not have a good background on gauss or coding but i have interest in running the code. thank you. below is the data with date i hope to use and the code also:

2009Q1 338.7586
2009Q2 444.7719
2009Q3 372.0291
2009Q4 349.9423
2010Q1 413.5982
2010Q2 394.4501
2010Q3 360.0501
2010Q4 417.488
2011Q1 401.3108
2011Q2 352.1018
2011Q3 288.63
2011Q4 278.6477
2012Q1 308.5155
2012Q2 355.7288
2012Q3 386.1522
2012Q4 400.3004
2013Q1 412.5261
2013Q2 400.2917
2013Q3 412.2926
2013Q4 392.9464
2014Q1 424.7652
2014Q2 419.6698
2014Q3 333.8486
2014Q4 356.3095
2015Q1 359.5441
2015Q2 309.7511
2015Q3 252.7532
2015Q4 241.1732
2016Q1 285.5354
2016Q2 276.1811

 

Code:

/* In return for using this codes, please cite the following relevant papers:/* In return for using this codes, please cite the following relevant papers:**** Paresh Kumar Narayan, Stephan Popp** A new Unit Root Test With Two Structural Breaks in Level and Slope at Unknown Time.** Journal of Applied Statistics, Volume 37, No.9, 1425-1428 (2010).****** Sequential procedure to estimate the break dates.**** Code written by Stephan Popp**** Copyright by Stephan Popp***/
new;FORMAT /M1 /ROS 8,4;library pgraph;_pdate="";_pcolor = 1;_pmcolor = ZEROS(8,1)|15;
/*path1 = "Z:\\Stephan.Popp\\Projekte\\perronmultiple\\gauss\\output.out";
OUTPUT FILE = ^path1 ON;*/
"******************************************";"date: " datestr(date) "  time:  " timestr(time);"*******************************************";
/* DATA**  the first column should contain the years or quarters (i.e. 1973.3)**  and the second the observations*/
load yy[231,1]=c:\data\roil.txt; @ change path settings and yy[here include # of observations ,2]@
/* Randomly chosen datasetyy=SEQA(1900,1,100)~RNDN(100,1);*/
XY(yy[.,1],yy[.,2]);
yyy= yy[.,2];kmax = 5; @ max lag @ttt = rows(yyy);tau = 0.2; @ trimming factor @
"Series: Log(.)";"Sample:" yy[1,1]~yy[rows(yyy),1];"# observations:" ttt;"maximum lag " kmax;"trimming factor " tau;
"program: popp2break.prg" ;"*******************************";tbunter = MAXC(3+kmax|CEIL(tau*ttt));             @ lower break date @"break date floor, effective tau " tbunter~yy[tbunter,1]~tbunter/ttt;tbober  = MINC(ttt-3-kmax|FLOOR((1-tau)*ttt));    @ upper break date @"break date ceiling, effective (1-tau) " tbober~yy[tbober,1]~tbober/ttt;"*******************************************";
/************** Model 0 *****************/
ergeb = ZEROS(2,1);     @ Vektor zum Speichern der Ergebnisse @tbopt = ZEROS(2,1);
ttb1 = tbunter;ttb2 = 0;do while ttb1 <= tbober; @ Schleife der durchlaufenden Bruchzeitpunkte T_B @     {rho1,trho1,ttheta1,pp1,rres1,varres1,tstat1,kk1} = mio2break0b(yyy,ttb1,ttb2,kmax);
if ABS(ttheta1) > ABS(ergeb[1,1]);   ergeb[1,1] = ttheta1;   ergeb[2,1] = ttb1; endif;
ttb1 = ttb1 + 1;endo;
tbopt[1] = ergeb[2,1];
ergeb = ZEROS(2,1);     @ Vektor zum Speichern der Ergebnisse @   ttb2 = tbunter;do while ttb2 <= tbober; if ABS(ttb2 - tbopt[1]) < 2; ttb2 = tbopt[1] + 2; endif;
{rho1,trho1,ttheta1,pp1,rres1,varres1,tstat1,kk1} = mio2break0b(yyy,tbopt[1],ttb2,kmax);
if ABS(ttheta1) > ABS(ergeb[1,1]);   ergeb[1,1] = ttheta1;   ergeb[2,1] = ttb2; endif;
ttb2 = ttb2 + 1;  endo;
tbopt[2] = ergeb[2,1];tbopt = SORTC(tbopt,1);
{rho1,trho1,ttheta1,pp1,rres1,varres1,tstat1,kk1} = mio2break0b(yyy,tbopt[1],tbopt[2],kmax);
"****************";"output";"****************";"model type M0";"first break  " tbopt[1]~yy[tbopt[1],1]~tbopt[1]/ROWS(yy);"second break " tbopt[2]~yy[tbopt[2],1]~tbopt[2]/ROWS(yy);"phi = rho-1  " rho1;"t value      " trho1;"optimal lag  " kk1;"variance     " varres1;"------";"coeff tstat  ";"yyverz constant du1verz du2verz dtb1 dtb2";pp1~tstat1;

/************** Model 1 *****************/
ergeb = ZEROS(2,1);     @ Vektor zum Speichern der Ergebnisse @tbopt = ZEROS(2,1);
ttb1 = tbunter;ttb2 = 0;do while ttb1 <= tbober; @ Schleife der durchlaufenden Bruchzeitpunkte T_B @     {rho1,trho1,ttheta1,pp1,rres1,varres1,tstat1,kk1} = mio2break1b(yyy,ttb1,ttb2,kmax);
if ABS(ttheta1) > ABS(ergeb[1,1]);   ergeb[1,1] = ttheta1;   ergeb[2,1] = ttb1; endif;
ttb1 = ttb1 + 1;endo;
tbopt[1] = ergeb[2,1];
ergeb = ZEROS(2,1);     @ Vektor zum Speichern der Ergebnisse @   ttb2 = tbunter;do while ttb2 <= tbober; if ABS(ttb2 - tbopt[1]) < 2; ttb2 = tbopt[1] + 2; endif;
{rho1,trho1,ttheta1,pp1,rres1,varres1,tstat1,kk1} = mio2break1b(yyy,tbopt[1],ttb2,kmax);
if ABS(ttheta1) > ABS(ergeb[1,1]);   ergeb[1,1] = ttheta1;   ergeb[2,1] = ttb2; endif;
ttb2 = ttb2 + 1;  endo;
tbopt[2] = ergeb[2,1];tbopt = SORTC(tbopt,1);
{rho1,trho1,ttheta1,pp1,rres1,varres1,tstat1,kk1} = mio2break1b(yyy,tbopt[1],tbopt[2],kmax);
"output";"****************";"model type M1";"first break  " tbopt[1]~yy[tbopt[1],1]~tbopt[1]/ROWS(yy);"second break " tbopt[2]~yy[tbopt[2],1]~tbopt[2]/ROWS(yy);"phi = rho-1  " rho1;"t value      " trho1;"optimal lag  " kk1;"variance     " varres1;"------";"coeff tstat  ";"yyverz constant du1verz du2verz dtb1 dtb2 time";pp1~tstat1;

/************** Model 2 *****************/
ergeb = ZEROS(2,1);     @ Vektor zum Speichern der Ergebnisse @tbopt = ZEROS(2,1);
ttb1 = tbunter;ttb2 = 0;do while ttb1 <= tbober; @ Schleife der durchlaufenden Bruchzeitpunkte T_B @     {rho1,trho1,ttheta1,pp1,rres1,varres1,tstat1,kk1} = mio2break2b(yyy,ttb1,ttb2,kmax);
if ABS(ttheta1) > ABS(ergeb[1,1]);   ergeb[1,1] = ttheta1;   ergeb[2,1] = ttb1; endif;
ttb1 = ttb1 + 1;endo;
tbopt[1] = ergeb[2,1];
ergeb = ZEROS(2,1);     @ Vektor zum Speichern der Ergebnisse @   ttb2 = tbunter;do while ttb2 <= tbober; if ABS(ttb2 - tbopt[1]) < 2; ttb2 = tbopt[1] + 2; endif;
{rho1,trho1,ttheta1,pp1,rres1,varres1,tstat1,kk1} = mio2break2b(yyy,tbopt[1],ttb2,kmax);
if ABS(ttheta1) > ABS(ergeb[1,1]);   ergeb[1,1] = ttheta1;   ergeb[2,1] = ttb2; endif;
ttb2 = ttb2 + 1;  endo;
tbopt[2] = ergeb[2,1];tbopt = SORTC(tbopt,1);
{rho1,trho1,ttheta1,pp1,rres1,varres1,tstat1,kk1} = mio2break2b(yyy,tbopt[1],tbopt[2],kmax);
"output";"****************";"model type M2";"first break  " tbopt[1]~yy[tbopt[1],1]~tbopt[1]/ROWS(yy);"second break " tbopt[2]~yy[tbopt[2],1]~tbopt[2]/ROWS(yy);"phi = rho-1  " rho1;"t value      " trho1;"optimal lag  " kk1;"variance     " varres1;"------";"coeff tstat  ";"yylagged constant du1lagged du2lagged dtb1 dtb2 dt1verz dt2verz time";pp1~tstat1;   OUTPUT OFF;
end;
proc(8)=mio2break0b(yy,ttb1,ttb2,kkmax);    local t,mu,du1,du1verz,du2,du2verz,dtb1,dtb2,yyverz,dyy,x1,x,pp,rres; local varres,varpp,tstat,kk,ampel,xx,ttheta;
t=ROWS(yy);    mu=ONES(t,1);              @ Absolutglied @ du1=ZEROS(t,1);             @ Dummy @ du1[ttb1+1:t,1]=ONES(t-ttb1,1); du1verz=lagn(du1,1); @ Dummy verz?gert DU_t-1 @ dtb1=ZEROS(t,1);            @ Impulsdummy @ dtb1[ttb1+1:ttb1+1,1]=1; yyverz=lagn(yy,1); dyy=yy-yyverz;
if ttb2 == 0;   x1=yyverz~mu~du1verz~dtb1; else;   du2=ZEROS(t,1);             @ Dummy @   du2[ttb2+1:t,1]=ONES(t-ttb2,1);   du2verz=lagn(du2,1); @ Dummy verz?gert DU_t-1 @   dtb2=ZEROS(t,1);            @ Impulsdummy @   dtb2[ttb2+1:ttb2+1,1]=1;
x1=yyverz~mu~du1verz~du2verz~dtb1~dtb2; endif;   if kkmax == 0;   x = TRIMR(x1,1,0);   dyy = TRIMR(dyy,1,0);    pp = INV(x'x)*x'dyy; @ Sch?tzvektor p @   rres = dyy - x*pp; @ Residuenvektor @      varres =(rres'*rres)/(ROWS(x)-COLS(x));                 @ Sch?tzung der Residualvarianz @      varpp = DIAG(rres'rres*INV(x'x)/(ROWS(x)-COLS(x))); @ Sch?tzung der Varianz-Kovarianzmatrix @      tstat = pp./SQRT(varpp);                                  @ t-Statistiken der Parametersch?tzungen @   kk = 0; else;   x = TRIMR(x1~SHIFTR(dyy',SEQA(1,1,kkmax),0)',kkmax+1,0);   dyy = TRIMR(dyy,kkmax+1,0);   kk = kkmax;   ampel = 0;
do while kk >= 0 and ampel == 0;     xx = x[.,1:COLS(x1)+kk];
pp = INV(xx'xx)*xx'dyy; @ Sch?tzvektor p @     rres = dyy - xx*pp; @ Residuenvektor @        varres =(rres'*rres)/(ROWS(xx)-COLS(xx));                 @ Sch?tzung der Residualvarianz @        varpp = DIAG(rres'rres*INV(xx'xx)/(ROWS(xx)-COLS(xx))); @ Sch?tzung der Varianz-Kovarianzmatrix @        tstat = pp./SQRT(varpp);                                  @ t-Statistiken der Parametersch?tzungen @       if ABS(tstat[COLS(x1)+kk]) > 1.96; ampel = 1; endif;   @ Signifkanzniveau 10%: 1.96 @     kk = kk-1;   endo;   kk = kk+1;
endif;
if ttb2 == 0;   ttheta = tstat[4]; else;   ttheta = tstat[6]; endif;   retp(pp[1],tstat[1],ttheta,pp,rres,varres,tstat,kk);
endp;
proc(8)=mio2break1b(yy,ttb1,ttb2,kkmax);    local t,mu,zeit,du1,du1verz,du2,du2verz,dtb1,dtb2,yyverz,dyy,x1,x,pp,rres; local varres,varpp,tstat,kk,ampel,xx,ttheta;
t=ROWS(yy);    mu=ONES(t,1);              @ Absolutglied @    zeit=SEQA(1,1,t);          @ Zeittrend @ du1=ZEROS(t,1);             @ Dummy @ du1[ttb1+1:t,1]=ONES(t-ttb1,1); du1verz=lagn(du1,1); @ Dummy verz?gert DU_t-1 @ dtb1=ZEROS(t,1);            @ Impulsdummy @ dtb1[ttb1+1:ttb1+1,1]=1; yyverz=lagn(yy,1); dyy=yy-yyverz;
if ttb2 == 0;   x1=yyverz~mu~du1verz~dtb1~zeit; else;   du2=ZEROS(t,1);             @ Dummy @   du2[ttb2+1:t,1]=ONES(t-ttb2,1);   du2verz=lagn(du2,1); @ Dummy verz?gert DU_t-1 @   dtb2=ZEROS(t,1);            @ Impulsdummy @   dtb2[ttb2+1:ttb2+1,1]=1;
x1=yyverz~mu~du1verz~du2verz~dtb1~dtb2~zeit; endif;   if kkmax == 0;   x = TRIMR(x1,1,0);   dyy = TRIMR(dyy,1,0);    pp = INV(x'x)*x'dyy; @ Sch?tzvektor p @   rres = dyy - x*pp; @ Residuenvektor @      varres =(rres'*rres)/(ROWS(x)-COLS(x));                 @ Sch?tzung der Residualvarianz @      varpp = DIAG(rres'rres*INV(x'x)/(ROWS(x)-COLS(x))); @ Sch?tzung der Varianz-Kovarianzmatrix @      tstat = pp./SQRT(varpp);                                  @ t-Statistiken der Parametersch?tzungen @   kk = 0; else;   x = TRIMR(x1~SHIFTR(dyy',SEQA(1,1,kkmax),0)',kkmax+1,0);   dyy = TRIMR(dyy,kkmax+1,0);   kk = kkmax;   ampel = 0;
do while kk >= 0 and ampel == 0;     xx = x[.,1:COLS(x1)+kk];
pp = INV(xx'xx)*xx'dyy; @ Sch?tzvektor p @     rres = dyy - xx*pp; @ Residuenvektor @        varres =(rres'*rres)/(ROWS(xx)-COLS(xx));                 @ Sch?tzung der Residualvarianz @        varpp = DIAG(rres'rres*INV(xx'xx)/(ROWS(xx)-COLS(xx))); @ Sch?tzung der Varianz-Kovarianzmatrix @        tstat = pp./SQRT(varpp);                                  @ t-Statistiken der Parametersch?tzungen @       if ABS(tstat[COLS(x1)+kk]) > 1.96; ampel = 1; endif;   @ Signifkanzniveau 10%: 1.96 @     kk = kk-1;   endo;   kk = kk+1;
endif;
if ttb2 == 0;   ttheta = tstat[4]; else;   ttheta = tstat[6]; endif;   retp(pp[1],tstat[1],ttheta,pp,rres,varres,tstat,kk);
endp;
proc(8)=mio2break2b(yy,ttb1,ttb2,kkmax);    local t,mu,zeit,du1,du1verz,du2,du2verz,dtb1,dtb2,dt1,dt1verz,dt2,dt2verz,yyverz,dyy,x1,x,pp,rres; local varres,varpp,tstat,kk,ampel,xx,ttheta;
t=ROWS(yy);    mu=ONES(t,1);              @ Absolutglied @    zeit=SEQA(1,1,t);          @ Zeittrend @ du1=ZEROS(t,1);             @ Dummy @ du1[ttb1+1:t,1]=ONES(t-ttb1,1); du1verz=lagn(du1,1); @ Dummy verz?gert DU_t-1 @ dtb1=ZEROS(t,1);            @ Impulsdummy @ dtb1[ttb1+1:ttb1+1,1]=1; dt1 = ZEROS(t,1); dt1[ttb1+1:t,1] = SEQA(1,1,(t-ttb1)); dt1verz=lagn(dt1,1); yyverz=lagn(yy,1); dyy=yy-yyverz;
if ttb2 == 0;   x1=yyverz~mu~du1verz~dtb1~dt1verz~zeit; else;   du2=ZEROS(t,1);             @ Dummy @   du2[ttb2+1:t,1]=ONES(t-ttb2,1);   du2verz=lagn(du2,1); @ Dummy verz?gert DU_t-1 @   dtb2=ZEROS(t,1);            @ Impulsdummy @   dtb2[ttb2+1:ttb2+1,1]=1;   dt2 = ZEROS(t,1);   dt2[ttb2+1:t,1] = SEQA(1,1,(t-ttb2));   dt2verz=lagn(dt2,1);
x1=yyverz~mu~du1verz~du2verz~dtb1~dtb2~dt1verz~dt2verz~zeit; endif;   if kkmax == 0;   x = TRIMR(x1,1,0);   dyy = TRIMR(dyy,1,0);    pp = INV(x'x)*x'dyy; @ Sch?tzvektor p @   rres = dyy - x*pp; @ Residuenvektor @      varres =(rres'*rres)/(ROWS(x)-COLS(x));                 @ Sch?tzung der Residualvarianz @      varpp = DIAG(rres'rres*INV(x'x)/(ROWS(x)-COLS(x))); @ Sch?tzung der Varianz-Kovarianzmatrix @      tstat = pp./SQRT(varpp);                                  @ t-Statistiken der Parametersch?tzungen @   kk = 0; else;   x = TRIMR(x1~SHIFTR(dyy',SEQA(1,1,kkmax),0)',kkmax+1,0);   dyy = TRIMR(dyy,kkmax+1,0);   kk = kkmax;   ampel = 0;
do while kk >= 0 and ampel == 0;     xx = x[.,1:COLS(x1)+kk];
pp = INV(xx'xx)*xx'dyy; @ Sch?tzvektor p @     rres = dyy - xx*pp; @ Residuenvektor @        varres =(rres'*rres)/(ROWS(xx)-COLS(xx));                 @ Sch?tzung der Residualvarianz @        varpp = DIAG(rres'rres*INV(xx'xx)/(ROWS(xx)-COLS(xx))); @ Sch?tzung der Varianz-Kovarianzmatrix @        tstat = pp./SQRT(varpp);                                  @ t-Statistiken der Parametersch?tzungen @       if ABS(tstat[COLS(x1)+kk]) > 1.96; ampel = 1; endif;   @ Signifkanzniveau 10%: 1.96 @     kk = kk-1;   endo;   kk = kk+1;
endif;
if ttb2 == 0;   ttheta = tstat[4]; else;   ttheta = tstat[6]; endif;   retp(pp[1],tstat[1],ttheta,pp,rres,varres,tstat,kk);
endp;
proc diff(x,k) ;     if ( k == 0) ;        retp(x) ;     endif ;     retp(trimr(x,k,0)-trimr(lagn(x,k),k,0)) ;endp ;
proc lagn(x,n);    local y;    y = shiftr(x', n, (miss(0, 0))');    retp(y');endp;

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