EViews.com

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