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ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

Abstract

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.

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File URL: http://fmwww.bc.edu/repec/bocode/z/zandrews.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/z/zandrews.hlp
File Function: help file
Download Restriction: no

Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S437301.

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Programming language: Stata
Requires: Stata version 8.0
Date of creation: 28 Jan 2004
Date of revision: 25 Oct 2013
Handle: RePEc:boc:bocode:s437301

Note: This module may be installed from within Stata by typing "ssc install zandrews". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: unit root; structural change; Zivot-Andrews;

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