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| Тест на единичен корен на ADF със структурна промяна× | KPSS тест със структурни прекъсвания× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1989-1992 | 2002-2005 |
| Създател≠ | Perron (1989); Zivot and Andrews (1992) | Kurozumi (2002); Carrion-i-Silvestre, Del Barrio & Lopez-Bazo (2005) |
| Тип≠ | Unit root test with structural break | Stationarity test with structural breaks |
| Основополагащ източник≠ | Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. DOI ↗ | Carrion-i-Silvestre, J. L., Del Barrio, T., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8(2), 159-175. DOI ↗ |
| Други названия | ADF with structural break, Perron unit root test, break-augmented ADF, unit root test with structural change | KPSS test with breaks, structural break stationarity test, KPSS break test, SB-KPSS |
| Свързани | 6 | 6 |
| Резюме≠ | The structural break ADF unit root test extends the standard Augmented Dickey-Fuller test to allow for one or more discrete shifts in the level or trend of a time series. Because ignoring a structural break inflates the apparent persistence of a series, this test prevents false acceptance of the unit root null when the series is actually stationary around a shifting mean or trend. | The structural break KPSS test extends the standard Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test to allow for one or more known or unknown structural breaks in the level or trend of a time series. Under the null hypothesis the series is stationary around a broken deterministic component, enabling researchers to distinguish genuine unit-root behaviour from apparent non-stationarity caused by regime shifts. |
| ScholarGateНабор от данни ↗ |
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