Performs the Zivot and 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)
Value
An object of class ur.za.
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
Author
Bernhard Pfaff
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.
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 and Economic Statistics, 10(3),
251--270.