ZAUnitRoot / ZAUnitRootMP

Python implementation of Zivot-Andrews structural-break unit-root test. Multi-processing version included for large-sample series.

References

Baum, C.F. (2004). ZANDREWS: Stata module to calculate Zivot-Andrews unit root test in presence of structural break," Statistical Software Components S437301, Boston College Department of Economics, revised 2015.

Schwert, G.W. (1989). Tests for unit roots: A Monte Carlo investigation. Journal of Business & Economic Statistics, 7: 147-159.

Zivot, E., and Andrews, D.W.K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Studies, 10: 251-270.

Description

A Python program that implements the Zivot-Andrews structural-break unit-root test.

H0 : series has a unit-root in the presence of a single structural break

Requirements

Python 3.6 Numpy 1.13.1 Statsmodels 0.9.0 Pandas 0.20.3

Running

There are no parameters. The program is set up to access a test file in the ..\results directory. This path can be modified in the source file.

Additional Info

Please see comments in the source file for additional info including referenced output for the test file.