ZAURoot (ZivotAndrews Unit Root test)
Moderators: EViews Gareth, EViews Moderator, EViews Esther
Re: ZAURoot (ZivotAndrews Unit Root test)
ZivotAndrews Unit Root Test
Date: 12/21/12 Time: 17:12
Sample: 1982 2010
Hello,
I conducted ZA test using Eviews 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 tvalues 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
tStatistic Prob. *
ZivotAndrews 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 tdistribution
and do not take into account the breakpoint selection process
Date: 12/21/12 Time: 17:12
Sample: 1982 2010
Hello,
I conducted ZA test using Eviews 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 tvalues 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
tStatistic Prob. *
ZivotAndrews 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 tdistribution
and do not take into account the breakpoint selection process

 Nonnormality and collinearity are NOT problems!
 Posts: 3337
 Joined: Wed Sep 17, 2008 2:25 pm
Re: ZAURoot (ZivotAndrews Unit Root test)
Update to the current version, 7.2.
Re: ZAURoot (ZivotAndrews Unit Root test)
disbudak wrote:* Probability values are calculated from a standard tdistribution 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.
Re: ZAURoot (ZivotAndrews Unit Root test)
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!
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 427 times
Re: ZAURoot (ZivotAndrews Unit Root test)
lkonya wrote:Dear Gareth,
When I apply the ZAURoot addin 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.
Re: ZAURoot (ZivotAndrews Unit Root test)
JohnMash wrote:lkonya wrote:Dear Gareth,When I apply the ZAURoot addin 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.
ZivotAndrews 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..."
Re: ZAURoot (ZivotAndrews Unit Root test)
I am using:
and
(notice that in the PDFdocumentation 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 ZivotAndrews 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 tstats 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)?
Code: Select all
series_name.zauroot(options)
Code: Select all
series_name.ppuroot(options)
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 ZivotAndrews 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 tstats 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)?

 Posts: 3
 Joined: Fri Dec 27, 2013 6:59 am
Re: ZAURoot (ZivotAndrews Unit Root test)
My Eviews version doesn't support addins for the ZivotAndrews 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 378 times
Re: ZAURoot (ZivotAndrews Unit Root test)
this is the attached file
good luck.
good luck.
 Attachments

 test output_zivot.zip
 (92.62 KiB) Downloaded 489 times
Re: ZAURoot (ZivotAndrews Unit Root test)
I use EViews version 8 and I have the following problem with the addin zauroot (file name: zauroot\zawrap.prg). When I call this addin the following error message occurs: "Near singular matrix. Regressors may be perfectly collinear". You can reproduce this error by applying the addin 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.
Could you please help me to fix this problem? Thank you very much.
 Attachments

 bn_demand_01_schätzungen.wf1
 (98.55 KiB) Downloaded 288 times
Re: ZAURoot (ZivotAndrews Unit Root test)
Using which criteria does the addin chooses the optimal lag shown in the result window?
Re: ZAURoot (ZivotAndrews Unit Root test)
Dear all
I have problem to use ZAUROOT test! I already installed zAUROOT addins in my eviews 7.1. but when I open the object of the series, there is not ZAUROOT option! but in proc there is addins 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
I have problem to use ZAUROOT test! I already installed zAUROOT addins in my eviews 7.1. but when I open the object of the series, there is not ZAUROOT option! but in proc there is addins 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
Re: ZAURoot (ZivotAndrews Unit Root test)
Hi there
Could we perform multiple time series ZAURoot test? If not, is there any other Addins for multiple time series breaking unit root test?
Thanks
Could we perform multiple time series ZAURoot test? If not, is there any other Addins for multiple time series breaking unit root test?
Thanks
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