Could someone please answer to my question?
The Add-in Zivot Andrews Unit Root Test provided by Eviews has the following critical values
Model A
crit1 = "-5.34"
crit5 = "-4.93"
crit10 = "-4.58"
Model B
crit1 = "-4.80"
crit5 = "-4.42"
crit10 = "-4.11"
Model C
crit1 = "-5.57"
crit5 = "-5.08"
crit10 = "-4.82"
Whereas the same one implemented in Stata (zandrews.ado) gives the following critical values:
Model A
crit1= -5.43
crit5= -4.80
Model B
crit1= -4.93
crit5= -4.42
Model C
crit1= -5.57
crit5= -5.08
Thus, the critical values are the same only for model C but are different for model A and B
Could you please to let me know where you get these critical values? The test statistics does not follow the standard t-distribution, is it correct?
Thank you very much
Zivot Andrews Unit Root Tests
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