Interpretation of Zivot Andrews test

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Lilly
Posts: 2
Joined: Sat Apr 18, 2015 11:23 am

Interpretation of Zivot Andrews test

Postby Lilly » Sat Apr 18, 2015 11:30 am

Can someone help me in interpreting the Zivot Andrews test result? I am attaching here the screenshot of the result.
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ZA.jpg
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EViews Glenn
EViews Developer
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Joined: Wed Oct 15, 2008 9:17 am

Re: Interpretation of Zivot Andrews test

Postby EViews Glenn » Mon Apr 20, 2015 12:10 pm

Accounting for the breakpoint estimation, the p-value for rejecting the null is in excess of 0.10.

Iuliia
Posts: 1
Joined: Tue Jun 30, 2015 4:36 am

Re: Interpretation of Zivot Andrews test

Postby Iuliia » Tue Sep 29, 2015 10:21 am

Dear Glenn,

the t-statistic suggests that we should not reject the null, while the p-val indicates we should reject the null.
Why are these contradicting?

EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Interpretation of Zivot Andrews test

Postby EViews Glenn » Tue Sep 29, 2015 12:10 pm

As the note indicates, the reported p-value in this case does not account for the breakpoint selection process. Use the critical values.


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