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From | Christopher Baum <kit.baum@bc.edu> |
To | <statalist@hsphsun2.harvard.edu> |
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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/