ZAURoot (ZivotAndrews Unit Root test)
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 Posts: 1
 Joined: Mon Sep 03, 2012 4:07 am
Re: ZAURoot (ZivotAndrews Unit Root test)
I would like to introduce a problem that i confront with the implemtation of the ZA test on my time series. First of all, i have the Eviews 7 software. The problem appears when i try to apply the ZA test for my annual data concerning the world's GDP (constant 2000 US$). Despite the fact that i get results for both intecept and trend, i dont get any results for intercept and trend separately whatever the lag length. The message that appears on my screen every time is "Near singular matrix error. Regressors may be perfectly collinear".
I would appreciate if any help could be available since i need the results for my dissertation.
You can find attached the workfile with the GDP in levels and in logarithms.
Thank you in advance,
Niki
Re: ZAURoot (ZivotAndrews Unit Root test)
Gareth,
I get different results for my data. When I run this test in Eviews, I get a break which is different from the break obtained when this test is run in R on this data.
I used general to specific method to determine the lag length. But Eviews uses AIC to set the lag length.
And in most cases, I get near singular matrix error message.
Anyway, hope you will look into it.
mrrox
I get different results for my data. When I run this test in Eviews, I get a break which is different from the break obtained when this test is run in R on this data.
I used general to specific method to determine the lag length. But Eviews uses AIC to set the lag length.
And in most cases, I get near singular matrix error message.
Anyway, hope you will look into it.
mrrox

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 Posts: 11981
 Joined: Tue Sep 16, 2008 5:38 pm
Re: ZAURoot (ZivotAndrews Unit Root test)
You'd have to ask Trubador.
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Re: ZAURoot (ZivotAndrews Unit Root test)
Hi Gareth,
Sorry for the delay, please find file attached
Sorry for the delay, please find file attached
 Attachments

 ZA_unit_root.wf1
 (35.02 KiB) Downloaded 446 times
Re: ZAURoot (ZivotAndrews Unit Root test)
It said 1 to 177 but can you help me now? I have uploaded the file correctly.
Hello
Thank you for your reply
I have two questions about the Zivotandrews 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 ZA unit root test are:
le85nst
le85p
le85q
lgp
ly
The series I get the error is the one named le85nst. The error I get from this serie is Near singular matrix error: Regressors maybe perfectly collinear.
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.
Hello
Thank you for your reply
I have two questions about the Zivotandrews 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 ZA unit root test are:
le85nst
le85p
le85q
lgp
ly
The series I get the error is the one named le85nst. The error I get from this serie is Near singular matrix error: Regressors maybe perfectly collinear.
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.
Re: ZAURoot (ZivotAndrews Unit Root test)
bvguizar wrote:The series I get the error is the one named le85nst. The error I get from this serie is Near singular matrix error: Regressors maybe perfectly collinear.
Use the code here: viewtopic.php?f=15&t=1432#p4925
Re: ZAURoot (ZivotAndrews Unit Root test)
Hello Trubador,
I get the error attached
do you know why I might get it?
I get the error attached
do you know why I might get it?
 Attachments

 error.jpg (196.54 KiB) Viewed 10885 times
Re: ZAURoot (ZivotAndrews Unit Root test)
Just change the initial part of the code:
And then you should be getting the following output:
Variable(s) LE85NST
tstat(s) 3.618547
Lag(s) 1.000000
Break 2000M01
DU1 pvalue 0.022781
Code: Select all
call zivot(le85nst,"C",12)
And then you should be getting the following output:
Variable(s) LE85NST
tstat(s) 3.618547
Lag(s) 1.000000
Break 2000M01
DU1 pvalue 0.022781
Re: ZAURoot (ZivotAndrews Unit Root test)
Hi,
with
call zivot(le85nst,"C",12)
I got
Variable(s) LE85NST
tstat(s) 5.055183
Lag(s) 10.00000
Break 2005M12
DU1 pvalue 0.000815
Is this wrong?
The file I originally updated here got corrupted then I re did it as this one but the values have changed I cannot get why is the same info as the one I uploaded before.
Could you please help?
with
call zivot(le85nst,"C",12)
I got
Variable(s) LE85NST
tstat(s) 5.055183
Lag(s) 10.00000
Break 2005M12
DU1 pvalue 0.000815
Is this wrong?
The file I originally updated here got corrupted then I re did it as this one but the values have changed I cannot get why is the same info as the one I uploaded before.
Could you please help?
 Attachments

 book1 za unit root.wf1
 (40.81 KiB) Downloaded 363 times
Re: ZAURoot (ZivotAndrews Unit Root test)
Nothing seems wrong with your second workfile and when I rerun the code I get the same results as before.
Re: ZAURoot (ZivotAndrews Unit Root test)
Hi,
Thank you so much for your help, I doubled checked.
So this break found is just for constand and trend? Or how does it work?
Variable(s) LE85NST
tstat(s) 3.618547
Lag(s) 1.000000
Break 2000M01
DU1 pvalue 0.022781
How do you interpret the above results?
I am working with 177 monthly observations and 5 variables and I want to check the model with constant, trend and constant and trend. I know the series have structural breaks and I am trying to identify them and use a dummy where is needed.
Could you please help me?
Thanks
Blanca
Thank you so much for your help, I doubled checked.
So this break found is just for constand and trend? Or how does it work?
Variable(s) LE85NST
tstat(s) 3.618547
Lag(s) 1.000000
Break 2000M01
DU1 pvalue 0.022781
How do you interpret the above results?
I am working with 177 monthly observations and 5 variables and I want to check the model with constant, trend and constant and trend. I know the series have structural breaks and I am trying to identify them and use a dummy where is needed.
Could you please help me?
Thanks
Blanca
Re: ZAURoot (ZivotAndrews Unit Root test)
Please refer to the original study in order to better understand the approach and the details on different specifications. Other than that, I'd like to remind you that analyzing structural breaks within a modeling context is a different task. Although ZA unit root test will provide you some useful insight, you need to use a more general approach (e.g. BaiPerron) if you are planning to build a model using these variables.
Re: ZAURoot (ZivotAndrews Unit Root test)
Dear Trubador
Do you mean this study:
'ZivotAndrews Unit Root Test
'Reference: Zivot, E. and Andrews, D. W. K. (1992), “Further Evidence on the Great Crash, the OilPrice Shock, and the UnitRoot Hypothesis”, Journal of Business & Economic Statistics, Vol. 10, No. 3, pp. 251270.
Do you mean this study:
'ZivotAndrews Unit Root Test
'Reference: Zivot, E. and Andrews, D. W. K. (1992), “Further Evidence on the Great Crash, the OilPrice Shock, and the UnitRoot Hypothesis”, Journal of Business & Economic Statistics, Vol. 10, No. 3, pp. 251270.
Last edited by bvguizar on Mon Sep 17, 2012 10:57 am, edited 1 time in total.

 Posts: 1
 Joined: Tue Sep 11, 2012 4:02 am
Re: ZAURoot (ZivotAndrews Unit Root test)
Hi,
thanks for the addin, it looks really easy to use. Can be this test performed directly on for example gdp growth rates series or should there be regression first done?
thanks for the addin, it looks really easy to use. Can be this test performed directly on for example gdp growth rates series or should there be regression first done?
Re: ZAURoot (ZivotAndrews Unit Root test)
I am trying to use this add in on my lap top but it just doesn't work. I have eviews 7 and it doesn't let me use it on it. It marks an error.
Someone help please
Someone help please
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