-------------------------------------------------------------------------------
help for zandrews 
-------------------------------------------------------------------------------

Zivot-Andrews Unit Root test allowing for a single break in intercept and/or tr
> end

        zandrews [varname] [if exp] [in range], maxlags(#) trim(#) break()
              generate(varname) lagmethod() level(#) graph


        zandrews is for use with time-series data. You must tsset your data
              before using these routines.  Varname may contain time-series
              operators. zandrews may be applied to a single time series within
              a panel.

Description

zandrews computes the Zivot-Andrews (1992) unit root test for varname.


Options

maxlags(#) 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).

trim(#) 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.

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

lagmethod() 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.


level(#) 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.

graph requests a graph of the unit-root test statistics for the different break
    points.  The default is NOGRAPH.

Examples

        . webuse turksales

        . dfuller sales
        . zandrews sales, graph
        
        . zandrews sales, break(trend)
        
        . zandrews sales, break(both) trim(0.10)
        
        . zandrews sales, lagmethod(BIC)
         
        . zandrews D.sales, graph
        
        . webuse grunfeld

        . zandrews invest if company==3, break(trend) graph
        


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, 251-7
> 0.

Acknowledgements

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.

Author

Christopher F. Baum (baum@bc.edu) Boston College


Also see 

dfuller, dfgls