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

Author

Listed:
  • 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.

Suggested Citation

  • Christopher F Baum, 2004. "ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break," Statistical Software Components S437301, Boston College Department of Economics, revised 31 Jul 2015.
  • 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.
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    File URL: http://fmwww.bc.edu/repec/bocode/z/zandrews.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/z/zandrews.hlp
    File Function: help file
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    More about this item

    Keywords

    unit root; structural change; Zivot-Andrews;

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