ur.za | R Documentation |

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)

`y` |
Vector to be tested for a unit root. |

`model` |
Specification if the potential break occured in either the intercept, the linear trend or in both. |

`lag` |
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 `ur.za`

.

Bernhard Pfaff

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)'.

`ur.za-class`

data(nporg) gnp <- na.omit(nporg[, "gnp.r"]) za.gnp <- ur.za(gnp, model="both", lag=2) summary(za.gnp)

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