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اختبار جذر الوحدة لـ Lee-Strazicich مع كسرين هيكليين×اختبار جذر الوحدة لـ Zivot-Andrews مع كسر هيكلي واحد×
المجالالاقتصاد القياسيالاقتصاد القياسي
العائلةHypothesis testHypothesis test
سنة النشأة20031992
صاحب الطريقةJunsoo Lee & Mark StrazicichEric Zivot & Donald Andrews
النوعLagrange Multiplier unit-root test with two endogenous structural breaksSequential unit-root test with endogenous break-point selection
المصدر التأسيسيLee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082–1089. DOI ↗Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251–270. DOI ↗
الأسماء البديلةLS Unit Root Test, Minimum LM Unit Root Test, Lee-Strazicich Two-Break Test, Lee-Strazicich LM TestiZA Test, Zivot-Andrews Break Test, Endogenous Break Unit-Root Test, Zivot-Andrews Birim Kök Testi
ذات صلة33
الملخصThe Lee-Strazicich (2003) test is a Lagrange Multiplier-based unit-root test that allows for two endogenous structural breaks under both the null and alternative hypotheses. Proposed by Junsoo Lee and Mark C. Strazicich, it corrects a fundamental flaw in earlier break-based tests such as Zivot-Andrews, where structural breaks were permitted only under the alternative. By incorporating breaks under the null, the LS test avoids spurious rejections and provides size-correct inference in the presence of level or trend shifts.The Zivot-Andrews (ZA) test, introduced by Eric Zivot and Donald Andrews in 1992, is a sequential unit-root test that allows for a single structural break at an unknown date. It extends the augmented Dickey-Fuller framework by endogenously selecting the break point that provides the strongest evidence against the unit-root null hypothesis, making it particularly useful for macroeconomic and financial time series that may have been disrupted by events such as policy changes, financial crises, or supply shocks.
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