ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break
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.
|Requires:||Stata version 8.0|
|Date of creation:||28 Jan 2004|
|Date of revision:||31 Jul 2015|
|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: |
Web page: http://fmwww.bc.edu/EC/
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|Order Information:||Web: http://repec.org/docs/ssc.php|
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