ur.za: Zivot and Andrews Unit Root Test

In urca: Unit Root and Cointegration Tests for Time Series Data

Zivot and Andrews Unit Root Test

Description

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.

Usage

ur.za(y, model = c("intercept", "trend", "both"), lag=NULL)

Arguments

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

Details

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.

Value

An object of class ur.za.

Author(s)

Bernhard Pfaff

References

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)'.

See Also

ur.za-class

Examples

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

urca documentation built on May 29, 2024, 5:36 a.m.