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

[Mark <statalist528h5q@feldmark.com>]

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 
root.

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

References:

Zivot, Eric and Donald W.K. Andrews, (1992) “Further Evidence on the 
Great Crash, the Oil-Price Shock and the Unit-Root Hypothesis”; Journal 
of Business and Economic Statistics; July; Vol 10, No. 3:251-270.
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/