ZAURoot (Zivot-Andrews Unit Root test)

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disbudak
Posts: 3
Joined: Wed Jun 23, 2010 7:03 am

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby disbudak » Fri Dec 21, 2012 8:34 am

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
Non-normality and collinearity are NOT problems!
Posts: 3179
Joined: Wed Sep 17, 2008 2:25 pm

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby startz » Fri Dec 21, 2012 11:08 am

Update to the current version, 7.2.

trubador
Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby trubador » Fri Dec 21, 2012 12:24 pm

disbudak wrote:* 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
Posts: 2
Joined: Fri Mar 08, 2013 7:22 am

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby Chaly91 » Fri Mar 08, 2013 7:51 am

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!
Attachments
data.xlsx
(66.85 KiB) Downloaded 411 times

JohnMash
Posts: 1
Joined: Tue Mar 26, 2013 10:09 pm

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby JohnMash » Tue Mar 26, 2013 10:13 pm

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,

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
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Joined: Thu Nov 20, 2008 12:04 pm

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby trubador » Wed Mar 27, 2013 3:33 am

JohnMash wrote: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
Posts: 9
Joined: Sun Sep 22, 2013 5:57 pm

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby garch2012 » Sun Sep 29, 2013 7:26 pm

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
Posts: 3
Joined: Fri Dec 27, 2013 6:59 am

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby sanjibseviews » Fri Dec 27, 2013 8:05 am

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?
Attachments
BEA_data_v2.xls
(25.5 KiB) Downloaded 356 times

metrix
Posts: 57
Joined: Sun Dec 08, 2013 9:15 am

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby metrix » Fri Dec 27, 2013 12:44 pm

this is the attached file
good luck.
Attachments
test output_zivot.zip
(92.62 KiB) Downloaded 453 times

h3504nb
Posts: 1
Joined: Mon Jun 23, 2014 3:08 am

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby h3504nb » Fri Jun 27, 2014 5:39 am

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.
Attachments
bn_demand_01_schätzungen.wf1
(98.55 KiB) Downloaded 257 times

akash27
Posts: 7
Joined: Wed Jun 18, 2014 9:00 am

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby akash27 » Wed Jul 09, 2014 7:36 am

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

Setyowati
Posts: 4
Joined: Tue Jun 09, 2015 10:08 pm

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby Setyowati » Tue Jun 09, 2015 10:14 pm

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
Posts: 10
Joined: Thu Oct 20, 2016 10:58 pm

Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby irisbear » Thu Nov 17, 2016 11:19 pm

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


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