COINT (version 0.0.2)

Za: Phillips' (1987) Za and Zt Test for Unit Root

Description

Compute Phillips' (1987) Za and Zt statistics for the null hypothesis that y has a unit root.

Usage

Za(y,p=1,v=15,ker_fun="parzen",aband=0,filter=0)

Value

alpha

Estimate of the AR(1) coefficient.

za

Za statistic for the series under the null has a unit root. Reject the null hypothesis of a unit root if the test statistic < critical value.

za_cv

Critical values of Za.

zt

Zt statistic for the series under the null has a unit root. Reject the null hypothesis of a unit root if the test statistic < critical value.

zt_cv

Critical values of Zt.

Arguments

y

The data of dependent variable in a regression.

p

Order of the time polynomial in the cointegrating regressio.
p =-1: No deterministic term in the cointegrating regression.
p = 0: For a constant term.
p = 1: For a constant term and trend. Default.
P > 2: For time polynomial.
Critical values are available for p within [1,5].

v

Number of autocovariance terms to compute the spectrum at frequency zero, default=15.

ker_fun

Set kernel function to one of the available kernels, default="parzen". See section details below.

aband

Whether to activate the automatic bandwidth selection.
aband=1. To activate.
aband=0. Do not activate.The default.

filter

Whether to use an AR(1) filter to compute the spectrum at frequency zero.
filter=1. To use.
filter=0. Do not use. The default.

Author

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Ouliaris, S., J. Y. Park, and P. C. B. Phillips (1989) Testing for a Unit Root in the Presence of a Maintained Trend. Ch. 1 in Baldev Raj (ed.), Advances in Econometrics and Modelling. Netherlands: Kluwer Academic Publishers.
Phillips, P. C. B. (1987) Time Series Regression with a Unit Root. Econometrica, 55, 277-301.

Examples

data(macro)
y=macro[,1]
Za(y,p=1,v=10)