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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)

Programming Language

Stata

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". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    Download full text from publisher

    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
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    Citations

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    Cited by:

    1. Johann Burgstaller, 2009. "When and why do Austrian companies issue shares?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(3), pages 229-244, August.
    2. Konstantinos Angelopoulos & Apostolis Philippopoulos, 2007. "The growth effects of fiscal policy in Greece 1960–2000," Public Choice, Springer, vol. 131(1), pages 157-175, April.

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