English, Article edition: ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break Christopher F Baum

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Bookmark: http://trove.nla.gov.au/version/174989
Physical Description
  • code
Language
  • English

Edition details

Title
  • ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break
Author
  • Christopher F Baum
Physical Description
  • code
Notes
  • zandrews calculates the Zivot-Andrews (JBES 1992) unit root test for a timeseries allowing for one structural break in the series, which may appear in intercept, trend or both. Various criteria for detecting the structural break are supported, and the t-statistics calculated for each breakpoint may be graphed. The routine has been modified to work with a single time series from a panel.
  • unit root, structural change, Zivot-Andrews
  • RePEc:boc:bocode:s437301
Language
  • English
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