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| Prova d'arrel unitària augmentada de Dickey-Fuller (ADF)× | Test d'estructures de trencament de Zivot-Andrews× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1979–1984 | 1992 |
| Autor original≠ | Said & Dickey (1984); building on Dickey & Fuller (1979) | Eric Zivot and Donald W. K. Andrews |
| Tipus≠ | Hypothesis test (unit root) | Unit root test with endogenous structural break |
| Font seminal≠ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. 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 ↗ |
| Àlies | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Relacionats≠ | 5 | 6 |
| Resum≠ | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. | The Zivot-Andrews (ZA) test is a unit root test that endogenously identifies the most likely location of a single structural break in a time series. Unlike the standard ADF test, it does not require the researcher to pre-specify when the break occurred, making it robust to data-driven regime shifts such as policy changes, financial crises, or major economic events. |
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