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\name{ur.za}
\alias{ur.za}
\encoding{latin1}
\title{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{
\item{y}{Vector to be tested for a unit root.}
\item{model}{Specification if the potential break occured in either the intercept, the linear trend or in both.}
\item{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 \code{ur.za}.
}
\references{
Zivot, E. and Andrews, Donald W.K. (1992), Further Evidence on the
Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,
\emph{Journal of Business and Economic Statistics}, \bold{10(3)},
251--270.
Download possible at: \url{https://cowles.yale.edu/}, see rubric
'Discussion Papers (CFDPs)'.
}
\seealso{\code{\link{ur.za-class}}}
\examples{
data(nporg)
gnp <- na.omit(nporg[, "gnp.r"])
za.gnp <- ur.za(gnp, model="both", lag=2)
summary(za.gnp)
}
\author{Bernhard Pfaff}
\keyword{regression}
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