Performs the Zivot and Andrews unit root test, which allows a break at an unknown point in either the intercept, the linear trend or in both.
ur.za(y, model = c("intercept", "trend", "both"), lag=NULL)
Vector to be tested for a unit root.
Specification if the potential break occured in either the intercept, the linear trend or in both.
The highest number of lagged endogenous differenced variables to be included in the test regression
This test is based upon the recursive estimation of a test regression. The test statistic is defined as the minimum t-statistic of the coeffcient of the lagged endogenous variable.
An object of class
Zivot, E. and Andrews, Donald W.K. (1992), Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis, Journal of Business and Economic Statistics, 10(3), 251–270.
Download possible at: https://cowles.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.
data(nporg) gnp <- na.omit(nporg[, "gnp.r"]) za.gnp <- ur.za(gnp, model="both", lag=2) summary(za.gnp)
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