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Interpretation of Zivot Andrews test
Posted: Sat Apr 18, 2015 11:30 am
by Lilly
Can someone help me in interpreting the Zivot Andrews test result? I am attaching here the screenshot of the result.
Re: Interpretation of Zivot Andrews test
Posted: Mon Apr 20, 2015 12:10 pm
by EViews Glenn
Accounting for the breakpoint estimation, the p-value for rejecting the null is in excess of 0.10.
Re: Interpretation of Zivot Andrews test
Posted: Tue Sep 29, 2015 10:21 am
by Iuliia
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?
Re: Interpretation of Zivot Andrews test
Posted: Tue Sep 29, 2015 12:10 pm
by EViews Glenn
As the note indicates, the reported p-value in this case does not account for the breakpoint selection process. Use the critical values.