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ZAURoot (Zivot-Andrews Unit Root test)
Posted: Tue Apr 10, 2012 6:36 am
by EViews Gareth
You'll need to provide more details.
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Wed Apr 11, 2012 1:05 am
by Leepeng
EViews Gareth wrote:You'll need to provide more details.
I manage to have the Z-A add-ins function. Thanks.
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Mon Aug 06, 2012 8:36 am
by mrrox
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
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Mon Aug 13, 2012 12:05 pm
by aditi
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I am teaching about add-ins in EViews, I would be better equipped if i am aware about the updated add-in rather than an outdated version.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
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Mon Aug 13, 2012 12:10 pm
by EViews Gareth
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
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Wed Aug 15, 2012 6:52 am
by aditi
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
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Wed Aug 15, 2012 5:29 pm
by vanessa14
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.
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Wed Aug 15, 2012 5:45 pm
by vanessa14
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.pdfRegards,
Vanessa
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Tue Aug 28, 2012 2:55 am
by bvguizar
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
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Tue Sep 04, 2012 10:09 am
by bvguizar
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
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Tue Sep 04, 2012 10:14 am
by EViews Gareth
Post your workfile, along with detailed description of what you have done.
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Tue Sep 04, 2012 4:06 pm
by bvguizar
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
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Tue Sep 04, 2012 4:36 pm
by EViews Gareth
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.
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Tue Sep 04, 2012 7:31 pm
by bvguizar
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
Re: ZAURoot (Zivot-Andrews Unit Root test)
Posted: Tue Sep 04, 2012 7:55 pm
by EViews Gareth
What does it say next to Range at the top of the workfile?