Zivot Andrews Unit Root Tests

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mayxanh
Posts: 19
Joined: Sat Feb 12, 2011 12:03 pm

Zivot Andrews Unit Root Tests

Postby mayxanh » Sat Feb 12, 2011 3:24 pm

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

EViews Gareth
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Posts: 13305
Joined: Tue Sep 16, 2008 5:38 pm

Re: Zivot Andrews Unit Root Tests

Postby EViews Gareth » Mon Feb 14, 2011 9:43 am

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