Structural Break: Zivot-Andrews Unit Root Test in Eviews
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- เผยแพร่เมื่อ 19 ก.ย. 2024
- Unit Roots with Breakpoints
This video provides a useful guide on how to perform the Zivot-Andrews Structural Break Unit Root Test in Eviews.
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Great
thanks for sharing this is really helpful. But whats mind the different result between when I take it only with constant, and when I take it only with the trend? Thanks again
Thank you for the video. Though I have a question regarding the null hypothesis. Zivot and Andrews (1992) mentioned that "the null hypothesis in these cases is a unit root with a drift THAT EXCLUDES ANY STRUCTURAL CHANGE. The relevant alternative hypothesis is still a trend-stationary process that allows for a one time break in the trend function", which is determined exogenously. So, is the null hyphothesis in the EViews Add-in incorrect? I hope you could answer my question.
The ZA procedure does not exogenously determine break point, rather endogenously. A major problem of break is that it leads to the non-rejection of the unit root hypothesis. Thus, the null is that of unit root with break (though not considered, but excluded in the presence of unit root), while the alternative is trend stationary with break. This is the general form of the hypothesis but in this add-in, it has been streamlined for a clearer understanding.
Please how do I test at first difference if the level test is not significant
Thank you for this video. But even after installing Zivot-Andrews Structural Break Unit Root in eviews, I can not perform this test. What is my option in this case?
in the Zivot-Andrews Structural Break Unit Root analysis, my result is in Intercept model t-Statistic value is 4.757677 and Prob. is 0.000221. in the Zivot-Andrews test statistic 1% critical value: -5.34, 5% critical value: -4.93 and 10% critical value is -4.58. in this situation, is Significant at the 10% or 1% ?
when i try to do it, it says "Near singular matrix error. Regressors may be perfectly collinear", i dont know what to do. it says that on every series i try to use it. Please help!!
Ensure that you're testing a series in a large sample and try to reduce the maximum lag length. I will equally suggest that you start up a new workfile for the ZA test. Try to revisit the data generating process to avoid multicollinearity issues.
How to transform non-stationary data with structural break into stationary?
Dear sir, thank you for this video.
I have one question, how I can perform the ZA test at level and in the first difference.
The ZA example in my video was done at level. If you want to do it at first difference, you would have to difference the variable manually before you can run it. To difference a variable, say X, click on Genr, then type DX = D(X) or DX = X - X(-1) in the Equation box and click OK. DX will be added to your workfile as the first difference of X. Then, redo the ZA test on DX. Thanks
@@ChekwubeMadichie Many thanks
How to determine the break points can i determine myself?
I want to analyze the break points as income decreases on a period suddenly is that still effects long run households consumption ? Trying to make an primitive argument about permanent income hypothesis?
I'm not sure if I understand your question, you can determine breakpoints by informal method like visual examinination of time series plots. But this method usually contaminates the choice of breakpoints. Also, if you want to determine how breaks in income affects consumption, you have to regress consumption on income, after which, you use chow test to determine the breakpoints and then consider estimating a model with regime shift.
@@ChekwubeMadichie I study permanent income hypothesis and i need a specific structural break that sudden changes in the average expected permanent income causes long term effects on household´s consumption. How i can specify this break in the model without general tests that shows stems of the break is reflected on constant or trend ? I read that i can do it by adding dummy variable to times of structural break but could you consider to make a video that examine structural breaks with dummies?
Thank you for everything you are the best ☺️☺️
@@daphneashba I think I understand your problem better. Kindly refer to my video on Gregory-Hansen structural break cointegration test. The GH test automatically adds a dummy variable to capture the break in the coefficient.
Watch the GH video at:
th-cam.com/video/mC9ETR4OHi8/w-d-xo.html
Chekwube Madichie thank you so much you are amazing 👍☺️
@@daphneashba you're welcome brother
which software do you use to analyze structure break
Eviews is the software. Download the gh program code for gregory-hansen structural break cointegration test.
Dear Sir, I have a time series of oil prices upon which I would to like to conduct the Zivot-Andrews Structural Break Unit Root test. I have attempted to do so through the add-in, but every time I try to run the test it gives me the following error: " an unnamed object cannot be converted into string." Would you by any chance know how I might resolve this issue? Many thanks.
There's probably an unnamed object in your workfile. Make sure you installed the ZA add-ins well and start again on a fresh workfile.
@@ChekwubeMadichie I have the same problem. In your workfile, what is mop?
My Eview didn’t have Adding, how can I download it please
Install addins by clicking on addins icon and navigating to Manage Addins option.
hello, how could i use the test with commands? Good video btw
Currently, I do not have any command for this test in Eviews.
Thanks for ur help sir. In reality it's not working with me zivot test like u bcz when I open 'add-ins' has only 4 liste which is 'manage add-in' download add-in' mange user objects' download user objects ' I don't know wht to do realy. In my college we studied in Arabic the econoetrics plz help me. If u can share with me ur email I w' ll thankful. Thnx d'avence
How to download the Zivot Andrews root on eviews?
Connect your computer to internet, then go to add-in, click on manage add-in, then click on available add-in, then you will see zivot-andrews unit root test, click on it to download it and install it. Click back on add-in to see it.
Also click on the link below to watch the Gregory-Hansen structural break Cointegration test
th-cam.com/video/mC9ETR4OHi8/w-d-xo.html