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Supplementary material for "Testing for stationarity with covariates: 
More powerful tests with non-normal errors"
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This archive contains the Gauss code and Nelson-Plosser updated data
used to produce the empirical results in the paper.
The results were computed using Gauss 19.2.

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1) appl_DStats.gss	: Gauss code for the Descriptive Statistics to replicate the results in Table 6.

2) appl_JanssonRALS.gss	: Gauss code for the stationary tests to replicate the results in Table 7 for the US macro-economic series.

3) NP_Data.xlsx		: Excel file that includes the Nelson-Plosser extended data (up to 2019).

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