I'm check the residuals of a linear regression with Zivot & Andrews unit root test.
This is the plot:
And the results are:
> z <- ur.za(resid(mod), model='intercept')
> summary(z)
################################
# Zivot-Andrews Unit Root Test #
################################
Call:
lm(formula = testmat)
Residuals:
Min 1Q Median 3Q Max
-6.9484 -0.3336 -0.0052 0.3486 4.6749
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.8358245 0.2559622 3.265 0.001145 **
y.l1 0.9056053 0.0136199 66.491 < 2e-16 ***
trend 0.0002781 0.0001612 1.725 0.084992 .
du -0.9509595 0.2686740 -3.539 0.000427 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.8534 on 715 degrees of freedom
(1 observation deleted due to missingness)
Multiple R-squared: 0.9221, Adjusted R-squared: 0.9218
F-statistic: 2823 on 3 and 715 DF, p-value: < 2.2e-16
Teststatistic: -6.9306
Critical values: 0.01= -5.34 0.05= -4.8 0.1= -4.58
Potential break point at position: 21
A potential break at position 21 seems correct, but the test tells there is not a unit root...so, how is it possible that the test "pass" for unit root checks but it also gives a potential break? How to interpret the chart?
Thank you!