R: Zivot & Andrews Unit Root Test

ur.za {urca} | R Documentation

## 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)'.

### See Also

`ur.za-class`

### Examples

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

[Package urca version 1.3-0 Index]