An improved density approximation for the Zivot–Andrews test

The unit-root test by Zivot and Andrews(1992) for series with possible structural breaks has been the industry standard for over 30 years. All available software reports the critical values presented in the original article, which were computed with the technology available at the time. By a much larger simulation exercise, the relevant distributions are approximated by Gaussian mixtures. This makes the computation of p-values straightforward and handles finite-sample issues very naturally. We show that the discrepancies between the original critical values and ours are relatively minor, but not negligible in some cases.