I'm check the residuals of a linear regression with Zivot & Andrews unit root test. This is the plot: http://imageshack.us/f/840/zivot.png/ 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!