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| Model de Correcció d'Errors Vectorial amb Ruptures Estructurals (SB-VECM)× | Test d'estructures de trencament de Zivot-Andrews× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1996–2000 | 1992 |
| Autor original≠ | Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000) | Eric Zivot and Donald W. K. Andrews |
| Tipus≠ | Multivariate error correction model with structural breaks | Unit root test with endogenous structural break |
| Font seminal≠ | Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126. 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 | SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented VECM | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Relacionats≠ | 5 | 6 |
| Resum≠ | The Structural Break VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional changes. | 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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