ZIVOT - Zivot-Andrews Unit Root Test with Break
Posted: Wed Jun 29, 2011 4:27 pmZIVOT implements the Zivot-Andrews unit root test, allowing for a single break in the intercept, the trend or both. The LPUNIT procedure (http://www.estima.com/forum/viewtopic.php?f=7&t=1121) generalizes this to more than one break.
Reference:
Zivot and Andrews(1992), "Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis", JBES, vol. 10, 251-70.
@Zivot(options) series start end
Options:
BREAK=[INTERCEPT]/TREND/BOTH
Selects which variables are allowed to have a break
CRIT=[INPUT]/AIC/BIC/TTEST
Selects the method for deciding the number of additional lags. If INPUT, the number of lags given by the MAXLAGS option is used. If AIC, the AIC-minimizing value between 0 and MAXLAGS is used; if BIC, it's the BIC-minimizing value, and if t-test, the number of lags for which the last included lag has a marginal significance level less than the cutoff given by the SIGNIF option.
PI=fraction of data range to skip at either end when examining possible break points [.15]
LAGS=number of additional lags (CRIT=INPUT)
MAXLAGS=number of additional lags (CRIT=INPUT) or the maximum number of lags to consider (other crit's) [number of observations**.25]
SIGNIF=cutoff significance level for CRIT=TTEST [.10]
SMPL=SMPL series with entries to skip
GRAPH/[NOGRAPH]
GRAPH requests a graph of the unit-root statistics with the different break points.
[PRINT]/NOPRINT
TITLE=title for report ["Zivot-Andrews Unit Root Test, Series ..."]
Reference:
Zivot and Andrews(1992), "Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis", JBES, vol. 10, 251-70.
@Zivot(options) series start end
Options:
BREAK=[INTERCEPT]/TREND/BOTH
Selects which variables are allowed to have a break
CRIT=[INPUT]/AIC/BIC/TTEST
Selects the method for deciding the number of additional lags. If INPUT, the number of lags given by the MAXLAGS option is used. If AIC, the AIC-minimizing value between 0 and MAXLAGS is used; if BIC, it's the BIC-minimizing value, and if t-test, the number of lags for which the last included lag has a marginal significance level less than the cutoff given by the SIGNIF option.
PI=fraction of data range to skip at either end when examining possible break points [.15]
LAGS=number of additional lags (CRIT=INPUT)
MAXLAGS=number of additional lags (CRIT=INPUT) or the maximum number of lags to consider (other crit's) [number of observations**.25]
SIGNIF=cutoff significance level for CRIT=TTEST [.10]
SMPL=SMPL series with entries to skip
GRAPH/[NOGRAPH]
GRAPH requests a graph of the unit-root statistics with the different break points.
[PRINT]/NOPRINT
TITLE=title for report ["Zivot-Andrews Unit Root Test, Series ..."]