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اختبار جذر الوحدة غير الخطي لـ Zivot-Andrews×اختبار جذر الوحدة لـ Lee-Strazicich مع كسرين هيكليين×
المجالالاقتصاد القياسيالاقتصاد القياسي
العائلةRegression modelHypothesis test
سنة النشأة2000s–2010s2003
صاحب الطريقةExtension combining Zivot & Andrews (1992) with nonlinear STAR-type adjustment; attributed to several applied time-series authorsJunsoo Lee & Mark Strazicich
النوعUnit root test with structural break and nonlinear adjustmentLagrange Multiplier unit-root test with two endogenous structural breaks
المصدر التأسيسيZivot, 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 ↗Lee, 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 ↗
الأسماء البديلةNZA test, nonlinear structural break unit root test, Zivot-Andrews test with nonlinear adjustment, smooth transition Zivot-Andrews testLS Unit Root Test, Minimum LM Unit Root Test, Lee-Strazicich Two-Break Test, Lee-Strazicich LM Testi
ذات صلة23
الملخصThe Nonlinear Zivot-Andrews test extends the classical Zivot-Andrews structural-break unit root test by embedding smooth-transition nonlinear adjustment into the test regression. It jointly searches for an endogenous structural break and allows the speed of mean-reversion to vary with distance from the attractor, producing more power against nonlinear stationary alternatives than either test alone.The 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.
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ScholarGateقارن الطرق: Nonlinear Zivot-Andrews test · Lee-Strazicich Test. استُرجع بتاريخ 2026-06-19 من https://scholargate.app/ar/compare