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st: how zandrews command chooses k lags by t-stat test

From   Kit Baum <>
Subject   st: how zandrews command chooses k lags by t-stat test
Date   Tue, 23 May 2006 14:15:35 -0400

Mark said

I have been reading thru the code for the zandrews command which does an
ADF style unit root test with one break. I am wondering whether one
detail is actually implemented as was described in the paper.

In Zivot and Andrews (1992), p. 255, it says that "It is important to
note that the number of extra regressors, k, required for the ADF
regressions was allowed to vary for each tentative choice of lambda."

The way I read this, you need to re-calculate k for each tentative break
date. Computationally intensive, but makes sense. But as I read the
code for the zandrews command, it appears to calculate k only once at
the beginning, in fact without any breaks at all. Then it seems to use
that same value for every regression over which you minimize the
t-statistic of the lagged regressand, which you test to identify a unit

I am wondering if I am interpreting this correctly. If so, it seems
like a nice heuristic, but different from what is in the original paper....

Mark is quite right. As the help file for -zandrews- indicates, this routine was translated from RATS code (available from http:// more or less wholesale, with one or two corrections. That RATS code does not incorporate the recommended determination of lag length as separate for each \lambda (break point). Although the original JBES article was consulted in the development of -zandrews-, the excellent point Mark raises was not incorporated into the Stata code. I will put that fix on the queue of desirable enhancements to my routines. Thanks to Mark for bringing it to my attention.

Kit Baum, Boston College Economics

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