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st: Zivot-Andrews test
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"[email protected]" <[email protected]>
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[email protected]
Subject
st: Zivot-Andrews test
Date
Wed, 5 Jan 2011 12:48:30 +0100 (CET)
Hi,
I'm studying two time-series (GDP and energy consumption) and I run the
Zivot-Andrews test,
which allow for structural breaks in the series.
Does anyone help me in interpret the STATA output? What's the H0 hypothesis?
If I have a t-test < 5% Critical Value, what should I conclude?
Here there is an output for the GDP series:
. zandrews loggdpgkpc, break(trend) graph
Zivot-Andrews unit root test for loggdpgkpc
Allowing for break in trend
Lag selection via TTest: lags of D.loggdpgkpc included = 0
Minimum t-statistic -1.764 at 1991 (obs 22)
Critical values: 1%: -4.93 5%: -4.42
Best Regards,
COSIMO MAGAZZINO
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