ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test
AbstractZivot and Andrews unit root test. Allows for a single break in the intercept, the trend or both. Zivot and Andrews(1992), "Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis", JBES, vol 10, 251-70.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTS00236.
Programming language: RATS
Requires: RATS 7.30
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
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Other versions of this item:
- Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
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