urca: ur.za – R documentation

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ur.za

Zivot \& Andrews Unit Root Test

Description

Performs the Zivot \& 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 \& Economic Statistics, 10(3), 251–270.

Download possible at: http://cowles.econ.yale.edu/, see rubric 'Discussion Papers (CFDPs)'.

Examples

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

urca

Unit Root and Cointegration Tests for Time Series Data

v1.3-0

GPL (>= 2)

Authors

Bernhard Pfaff [aut, cre], Eric Zivot [ctb], Matthieu Stigler [ctb]

Initial release

2016-09-06