ZAURoot (Zivot-Andrews Unit Root test)

[disbudak]

Zivot-Andrews Unit Root Test
Date: 12/21/12 Time: 17:12
Sample: 1982 2010
Hello,
I conducted ZA test using E-views 7 and I had the following result. I need to help to interpret the result. I am confused because accordin to Prob. value I should reject the null hypothesis but when I compare the t-values It seems that I shoul accept the null. Am I missing something here? Thank you.

Included observations: 29
Null Hypothesis: DEMIR has a unit root with a structural
break in the intercept
Chosen lag length: 4 (maximum lags: 4)
Chosen break point: 2003

t-Statistic Prob. *
Zivot-Andrews test statistic -4.500656 0.000245
1% critical value: -5.34
5% critical value: -4.93
10% critical value: -4.58

* Probability values are calculated from a standard t-distribution
and do not take into account the breakpoint selection process

[startz]

Update to the current version, 7.2.

[trubador]

* Probability values are calculated from a standard t-distribution and do not take into account the breakpoint selection process

Critical values are obtained through Monte Carlo simulation and those are the ones that you should be using in hyptohesis testing.

[Chaly91]

dear everybody,

I still don't know how to conduct the test. there is my data below. I hope anybody can help me to test the 2 series. I am very in need of the result of the test for my exam. Thanks a lot a lot!

[JohnMash]

Dear Gareth,

When I apply the ZAURoot add-in the printout says that "Null Hypothesis: LNGDPPC has a unit root with a structural break ...". Why is that? Isn't the null hypothesis a random walk without structural break?

Kind regards,

László

Is there any confirmation on this? the ZA (1992) test states that the null is a random walk without structural break. I assume that there is a mistake in the printout?

Thanks.

[trubador]

lkonya wrote:Dear Gareth,When I apply the ZAURoot add-in the printout says that "Null Hypothesis: LNGDPPC has a unit root with a structural break ...". Why is that? Isn't the null hypothesis a random walk without structural break?Kind regards,LászlóIs there any confirmation on this? the ZA (1992) test states that the null is a random walk without structural break. I assume that there is a mistake in the printout?Thanks.

Zivot-Andrews uses the same notation as Perron. Here is a verbatim quote from the article, page 253, section 2, first paragraph: "Perron developed a procedure for testing the null hypothesis that a given series {yt}T has a unit root with drift and that an exogenous structural break occurs at time 1<Tb<T versus the alternative hypothesis that the series is stationary about a deterministic time trend with an exogenous change in the trend function at time Tb..."

[garch2012]

I am using:

Code: Select all

series_name.zauroot(options)

and

Code: Select all

series_name.ppuroot(options)

(notice that in the PDF-documentation it incorrectly says: "series_name.ppuroot (options)" with a blank in front of the options. It does not work with a blank digit, only when used as above). Anyway, that was not my question only a help to other users.

I wonder whether there is a way to save every single test statistic in a matrix or in a series (after e.g. looping the tests) for Zivot-Andrews and Perron? I can make the loop myself, but I cannot see how to save the test statistic in a series or matrix.

Is it possible to do the same for any of the coefficients, s.e., or t-stats etc. from the selected regression (there is an inerative model selection process in the program).

Another thing, is it possible to constantly close down the window with the graph (since this will steal computer power)?

[sanjibseviews]

My Eviews version doesn't support add-ins for the Zivot-Andrews unit root test with structural break. It will be really helpful if someone test the data (attached) for the 2nd and the 3rd columns separately and post the full result?

[metrix]

this is the attached file
good luck.

[h3504nb]

I use EViews version 8 and I have the following problem with the add-in zauroot (file name: zauroot\zawrap.prg). When I call this add-in the following error message occurs: "Near singular matrix. Regressors may be perfectly collinear". You can reproduce this error by applying the add-in zauroot to the series "klein" or "mittel" or "gross" in the attached workfile. This problem pertains to all of the time series in this workfile.

Could you please help me to fix this problem? Thank you very much.

[akash27]

Using which criteria does the add-in chooses the optimal lag shown in the result window?

[Setyowati]

Dear all

I have problem to use ZAUROOT test! I already installed zAUROOT add-ins in my eviews 7.1. but when I open the object of the series, there is not ZAUROOT option! but in proc there is add-ins option and it shows ZAUROOT test, but it does not work!

I appreciate alot if you help me that how can I run this test on eviews?

Best wishes
Setyowati

[irisbear]

Hi there

Could we perform multiple time series ZAURoot test? If not, is there any other Add-ins for multiple time series breaking unit root test?

Thanks

[agy038]

Hi there,

I have just realised that the 5% critical value is shown as -4,93 by the ZAURoot add-in whereas it should be -4,80 (See Zivot&Andrews, 1992, p. 256). Not a big difference, yet there could be cases where it does matter.

[abby_d]

Hi,

What trimming perentage does the ZAUroot add in employ? If I understand correctly, the test requires that the first and last observations are excluded from the procedure, right?

Would very much appreciate a quick response!