ZAURoot (Zivot-Andrews Unit Root test)

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EViews Gareth
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ZAURoot (Zivot-Andrews Unit Root test)

Postby EViews Gareth » Tue Apr 10, 2012 6:36 am

You'll need to provide more details.
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Leepeng
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby Leepeng » Wed Apr 11, 2012 1:05 am

EViews Gareth wrote:You'll need to provide more details.


I manage to have the Z-A add-ins function. Thanks.

mrrox
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby mrrox » Mon Aug 06, 2012 8:36 am

i have now managed to update to 7.2.

though, the aipz file is not executable and cannot install the add-in.
Can you help with this please?
mrrox

aditi
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby aditi » Mon Aug 13, 2012 12:05 pm

Hi,

I wanted to inquire whether the ZAURoot add-in is an updated version from last year. I had first installed this ZAURoot add-in last year in August (2011). However, the same add-in (when re-installed) provides a more detailed output now.
The reason for my query is that when I am teaching about add-ins in EViews, I would be better equipped if i am aware about the updated add-in rather than an outdated version. Where can I get information about the add-ins being updated?

Thank you in advance.

Aditi

EViews Gareth
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby EViews Gareth » Mon Aug 13, 2012 12:10 pm

It is up to the author of the add-in to offer support, including details on updates. Generally I just put a note in the first post of the forum thread about the add-in details any changes I've made to it. This thread doesn't have any notes, which either means I forgot to put any in, or means I haven't made any changes :D
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aditi
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby aditi » Wed Aug 15, 2012 6:52 am

Thank you for the reply.
I should have re-installed the add-in from the first post. I shall keep that in mind when dealing with the other add-ins as well.

Thanks again.
Aditi

vanessa14
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby vanessa14 » Wed Aug 15, 2012 5:29 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



I think Lásló is right, the Null hyphotesis is wrong on eviews output.

vanessa14
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby vanessa14 » Wed Aug 15, 2012 5:45 pm

There is a mistake in the critical values. For model A, the 5% critical value is -4.8 and for model B the 1% critical value is -4.93. These values are switched in the outputs.

If someone wants to check the original paper:
http://www.est.uc3m.es/masters/Series_T ... 201992.pdf


Regards,

Vanessa

bvguizar
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby bvguizar » Tue Aug 28, 2012 2:55 am

Dear Andrew Eviews

I have a question about the Zivot-andrews unit root test. How do you choose the perfect lag for it? I am using 12 because I have monthly information.

I am working with 177 monthly observations and 5 variables using trend and constant. I know it has structural breaks and I am trying to identify them. However, I am not sure how to identify them.

Could you please help me?

Blanca
bvguizar

bvguizar
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby bvguizar » Tue Sep 04, 2012 10:09 am

Hello, I am trying to run the Z-A unit root test on one serie but it gives me the error: Error in Sample: Range error regardless of how many lags I use. I have monthly data and 176 obs.

Can someone help me please :oops:

EViews Gareth
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby EViews Gareth » Tue Sep 04, 2012 10:14 am

Post your workfile, along with detailed description of what you have done.
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bvguizar
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby bvguizar » Tue Sep 04, 2012 4:06 pm

Hello

Thank you for your reply


I have two questions about the Zivot-andrews unit root test. How do you choose the perfect lag for it? I am using 12 because I have monthly information. I am working with 177 monthly observations and 5 variables using trend and constant. I know it has structural breaks and I am trying to identify them. However, I am not sure if I am identifying the breaks correctly since I used the maximum lag of 12 and I got an error on le85nst.

The ones I want to check with Z-A unit root test are:

le85nst
le85p
le85q
lgp
ly

The series I get the error is the one named le85nst. The original series is e85nst, I added logarithms and converted in le85nst and after that I used the seasonal adjustment of X12 since these are american series.

I will use a dummy to reflect the breaks in my ARDL/VAR model.

Thank you
Attachments
ZA_unit_root.wf1
(35.01 KiB) Downloaded 291 times

EViews Gareth
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby EViews Gareth » Tue Sep 04, 2012 4:36 pm

Your workfile has a weird structure. It thinks it is monthly with a start month of "1" and an end month of "177". That makes no sense. Change your structure to something more sensible.
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bvguizar
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby bvguizar » Tue Sep 04, 2012 7:31 pm

Hello,

What do you mean with a weird structure? Is monthly data. Could you please explain? It is monthly daya starting from Oct 1997 to June 2012 Blanca

EViews Gareth
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Re: ZAURoot (Zivot-Andrews Unit Root test)

Postby EViews Gareth » Tue Sep 04, 2012 7:55 pm

What does it say next to Range at the top of the workfile?
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