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Thanks for the code trubador. I've got a pretty low level question. How do you tell eviews to run program mode A B or C, what do you have to type in the program arguments box?

Cheers

I have the same question. This code gives the result for model C. How do we get the result for model A.

The code makes it pretty clear - you enter the model you want as the second argument.

thank you very much. I could not notice that argument. best regards

I've been testing the zauroot code against a large range of timeseries. All of them indicate a break in the trend and intercept. Does anyone have an example file where there is no break (or a simulation process)? Or am I misunderstanding something at a more basic level? Thanks

Hello
Could some one help me about zivot andrews

when executing, an error message ..No Upper define !

What matter?

Hi,

I get the following error.

"Is not defined or is an illegal command in "EQUATION TEMP.LS DY (Y-1) C @ TREND DY(-1 TO -4)".


Any ideas ?

I am running Eviews 7.

Thanks

Hurlstrino wrote:Hi,

I get the following error.

"Is not defined or is an illegal command in "EQUATION TEMP.LS DY (Y-1) C @ TREND DY(-1 TO -4)".


Any ideas ?

I am running Eviews 7.

Thanks

Ok, I ran the routine for the older versions of Eviews to see what happens , and now I get an error saying

"Insufficient number of observations in "EQUATION TEMPL.LS Y(-1) C @TREND (@TREND>17-2) (@TREND>17-2)*(@TREND-17+2 DY(-1 TO -3)"

I do not think it is a version related issue.

malikbensafta wrote:"Is not defined or is an illegal command in "EQUATION TEMP.LS DY (Y-1) C @ TREND DY(-1 TO -4)"

You cannot put a space between @ and TREND. Moreover, (Y-1) should be replaced with Y(-1). Please do not change any of the structural parts of the subroutine.

Hurlstrino wrote:"Insufficient number of observations in "EQUATION TEMPL.LS Y(-1) C @TREND (@TREND>17-2) (@TREND>17-2)*(@TREND-17+2 DY(-1 TO -3)"

Here, the message is clear: You do not have enough observations to carry out the routine. You can lower the value of trimming parameter or better yet, increase the number of observations.

If I reduce the trimming, I get a singular matrix.

Do you have any other suggestions please, or would you mind taking a look at my data for me ?

I've posted this question on the Econometric Discussions forum but I am not sure it belongs there so I am posting it again here. It is about interpreting the results of Zivot-Andrews Unit Root Test.

I ran the routine "Zivot-Andrews Unit Root Test" to perform a unit root test with trend break and I would like to know how to interpret the results.

From the equation “ZA” I get the following results:

Dependent Variable: DY
Method: Least Squares
Date: 01/04/11 Time: 16:42
Sample (adjusted): 1982Q2 2010Q1
Included observations: 112 after adjustments

Variable Coefficient std. Error t-Statistic Prob.

E_POP_RT(-1) -0.006628 0.001692 -3.916339 0.0002
C 0.062132 0.015577 3.988797 0.0001
@TREND 0.000272 8.29E-05 3.281443 0.0014
DU 0.001541 0.000606 2.541795 0.0125
DT -5.38E-05 3.49E-05 -1.541206 0.1263
DY(-1) 1.995009 0.088271 22.60086 0.0000
DY(-2) -1.078224 0.208280 -5.176808 0.0000
DY(-3) -0.295512 0.208189 -1.419440 0.1588
DY(-4) 0.391776 0.089783 4.363594 0.0000

How do I test for the unit root? Should I test whether or not the coefficient of e_pop_rt(-1) is equal to 1?

Thanks,

Mara

Hi,

I just realized you're running the regression using the 1st difference of the series Y. So in this case, to interpret the results I just use the t-stat of the coefficient Y(-1) to test for the null that this coefficient is equal to zero (using the critical values posted previously). Is this correct?

I was confusing your test with the one from Vogelsang and Perron (1998).

Thanks,

Mara

Hi,
Thank for such useful tool! I have a question. Could I use the bic criteria instead of the aic one by replacing "min_aic" by "min_bic" in the subroutine?
Thank you,
Raquel

raquelopez wrote:Could I use the bic criteria instead of the aic one by replacing "min_aic" by "min_bic" in the subroutine?

No, you have to change more than that. You need to make following modifications to relevant parts of the code:

...
!min_bic = !bic0

for !lag=maxlag to 1 step -1
equation temp.ls dy y(-1) c @trend dy(-1 to -!lag)
!aic = log(temp.@ssr/!nobs)+2*(temp.@ncoef/!nobs)
!bic = log(temp.@ssr/!nobs)+log(!nobs)*(temp.@ncoef/!nobs)
if !bic < !min_bic then
!min_bic = !bic
!best_lag = !lag
else if !min_bic = !bic0 then
!best_lag =0
endif
endif
next
...

I'm getting the message: "y is not defined in "call zivot(y,"C",4)"

Please, what can I do?

Vanessa