{smcl}
{* 03Dec2003}{...}
{hline}
help for {hi:zandrews} 
{hline}

{title:{cmd:Zivot-Andrews Unit Root test allowing for a single break in intercept and/or trend}}

{p 8 14}{cmdab:zandrews} [{it:varname}] [{cmd:if} {it:exp}]
[{cmd:in} {it:range}] [{cmd:,} {cmdab:maxlags(}{it:#}{cmd:)} {cmdab:trim(}{it:#}{cmd:)} 
{cmdab:break(}{it:}{cmd:)} {cmdab: generate(}{it:varname}{cmd:)} {cmdab:lagmethod(}{it:}{cmd:)} 
{cmdab: level(}{it:#}{cmd:)} {cmdab: graph}]


{p 8 14}{cmdab:zandrews} is for use with time-series data. You must {it:tsset} your data before using these routines. 
{it:Varname} may contain time-series operators. {cmdab:zandrews} may be applied to a single time
series within a panel.

{title:Description}

{p}{cmd:zandrews} computes the Zivot-Andrews (1992) unit root test for {it:varname}. 
 

{title:Options}

{p 0 4}{cmd:maxlags(}{it:#}{cmd:)} specifies the number of additional lags or the maximum number of lags to consider. 
It must be a positive integer. If not specified, T^0.25 is used. Maxlags must be given with lagmethod (input).

{p 0 4}{cmd:trim(}{it:#}{cmd:)} specifies the fraction of data range to skip at either 
end when examining possible break points. It has a default value of fifteen percent (0.15). 
TRIM must be a positive real number greater than 0 and less than 0.25.

{p 0 4}{cmd:break(}{cmd:)} selects which elements of the process are allowed to have a break. BREAK can be INTERCEPT, TREND, or BOTH. 
The default selection is intercept. 

{p 0 4}{cmd:lagmethod(}{cmd:)} Selects the method for deciding the number of additional lags. If INPUT, 
the number of lags given by the MAXLAGS option is used. If AIC, the AIC-minimizing value is used.
If BIC, the BIC-minimizing value is used. If TTEST, the number of lags is that for which the last 
included lag has a marginal significance level less than the cutoff given by the LEVEL option.
 

{p 0 4}{cmd:level(}{it:#}{cmd:)} specifies the cutoff significance level for LAGMETHOD=TTEST. 
It has a default value of 0.10. LEVEL must be a real number between 0 and 0.25.

{p 0 4}{cmd:graph} requests a graph of the unit-root test statistics for the different break points. 
The default is NOGRAPH.

{title:Examples}

{p 8 12}{stata "webuse turksales" :. webuse turksales}{p_end}

{p 8 12}{stata "dfuller sales" :. dfuller sales} {p_end}
{p 8 12}{stata "zandrews sales, graph" :. zandrews sales, graph} {p_end}	
{p 8 12}{stata "zandrews sales, break(trend)" :. zandrews sales, break(trend)} {p_end}	
{p 8 12}{stata "zandrews sales, break(both) trim(0.10)" :. zandrews sales, break(both) trim(0.10)} {p_end}	
{p 8 12}{stata "zandrews sales, lagmethod(BIC)" :. zandrews sales, lagmethod(BIC)}{p_end}	 
{p 8 12}{stata "zandrews D.sales, graph" :. zandrews D.sales, graph}{p_end}
	
{p 8 12}{stata "webuse grunfeld" :. webuse grunfeld}{p_end}

{p 8 12}{stata "zandrews invest if company==3, break(trend) graph" :. zandrews invest if company==3, break(trend) graph} {p_end}	


{title:References}

Andrews, D., Zivot, E. 1992. Further evidence on the Great Crash, the oil price shock, and 
the unit-root hypothesis. Journal of Business and Economic Statistics 10, 251-70.

{title:Acknowledgements}

{p 0 4} This module was translated from RATS code. Much of the work of implementing
and testing its features was done by Margaret Green, sponsored by an Undergraduate 
Research Assistantship from the College of Arts
and Sciences, Boston College.

{title:Author}

{p 0 4} Christopher F. Baum (baum@bc.edu) Boston College


{title:Also see} 

{cmdab:dfuller}, {cmdab:dfgls}