ZIVOT—Zivot-Andrews Unit Root Test with Break

[TomDoan]

@ZIVOT implements the Zivot-Andrews unit root test, allowing for a single break in the intercept, the trend or both. The @LPUNIT procedure generalizes this to more than one break. The @LSUnit procedure offers an alternative LM testing procedure with one or more breaks.

Reference
Zivot and Andrews(1992), "Further evidence on the Great Crash, the oil price shock, and the unit-root hypothesis", JBES, vol. 10, 251-70.

Detailed Description