ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Zivot and Andrews unit root test. Allows for a single break in the intercept, the trend or both. Zivot and Andrews(1992), "Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis", JBES, vol 10, 251-70.

Language: RATS
Requires: RATS 7.30
Keywords: Unit; root; tests; with; breaks (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://www.estima.com/procs_perl/zivot.src (text/plain)

Related works:
Journal Article: Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00236

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