Hi there,
Currently running the Zivot Andrews unit root test and comparing it with the results from eViews, Stata and R (
ur.za)
Across all four tests, the t-statistics are the same, however break dates are different.
Assuming the break date for a particular variable is 2010 in eViews and Stata, the break date for R(
ur.za) and Python(Statsmodels) would usually be 2009, which is 1 year before whatever date that the other program gives.
Is this normal?
Thank you in advance!
Best Regards,
Kris