Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Test strukturálních zlomů Zivot-Andrews× | Rozšířený Dickey-Fullerův (ADF) test jednotkové kořene× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1992 | 1979–1984 |
| Tvůrce≠ | Eric Zivot and Donald W. K. Andrews | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Typ≠ | Unit root test with endogenous structural break | Hypothesis test (unit root) |
| Původní zdroj≠ | 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 ↗ | 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 ↗ |
| Další názvy | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Příbuzné≠ | 6 | 5 |
| Shrnutí≠ | 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. | 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. |
| ScholarGateDatová sada ↗ |
|
|