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

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 8.0
Keywords: unit root; structural change; Zivot-Andrews (search for similar items in EconPapers)
Date: 2004-01-28, Revised 2015-07-31
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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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/z/zandrews.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/z/zandrews.hlp help file (text/plain)

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s437301

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