ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break
Abstractzandrews 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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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S437301.
Programming language: Stata
Requires: Stata version 8.0
Date of creation: 28 Jan 2004
Date of revision: 25 Oct 2013
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
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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