Unit root tests:

Zivot & Andrews (92)

Perron (97)  

Kapetanios (05)

Other  tests:

Hansen  (stability)

Gregory & Hansen (coint)

Other resources:

P. Perron webpage  

J.P. LeSage
toolbox  

B.E. Hansen
webpage  

K. Sheppard
toolbox   

Econometrics software:

Gretl