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re: st: Zivot-Andrews test
From
Christopher Baum <[email protected]>
To
<[email protected]>
Subject
re: st: Zivot-Andrews test
Date
Wed, 5 Jan 2011 10:21:56 -0500
<>
I'm studying two time-series (GDP and energy consumption) and I run the
Zivot-Andrews test,
which allow for structural breaks in the series.
Does anyone help me in interpret the STATA output? What's the H0 hypothesis?
If I have a t-test < 5% Critical Value, what should I conclude?
Here there is an output for the GDP series:
. zandrews loggdpgkpc, break(trend) graph
Zivot-Andrews unit root test for loggdpgkpc
Allowing for break in trend
Lag selection via TTest: lags of D.loggdpgkpc included = 0
Minimum t-statistic -1.764 at 1991 (obs 22)
Critical values: 1%: -4.93 5%: -4.42
The test is analogous to a Dickey-Fuller test (dfuller, or the improved version dfgls) in that you are looking to reject the null of a unit root in the process. In the Z-A test, you allow for a breakpoint in the series (which might mistakenly lead you to conclude that the series is nonstationary, whereas it could be stationary with a level or trend shift). To reject the null of I(1) you need a large negative t-stat, larger than the critical values. In the case above you cannot reject. I expect that if you rerun the test on D. loggdpgkpc it will reject.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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