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| Fourier KPSS-testen for stationaritet med glatte strukturelle brud× | Panel KPSS-testen (Hadri Panel Stationarity Test)× | Zivot-Andrews enhedstest med ét strukturelt brud× | |
|---|---|---|---|
| Fagområde | Økonometri | Økonometri | Økonometri |
| Familie≠ | Regression model | Regression model | Hypothesis test |
| Oprindelsesår≠ | 2006 | 2000 | 1992 |
| Ophavsperson≠ | Becker, Enders, and Lee | Hadri (2000), extending Kwiatkowski, Phillips, Schmidt, and Shin (1992) | Eric Zivot & Donald Andrews |
| Type≠ | Stationarity test | Panel stationarity test | Sequential unit-root test with endogenous break-point selection |
| Oprindelig kilde≠ | Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. DOI ↗ | Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. Econometrics Journal, 3(2), 148-161. 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 ↗ |
| Aliasser | Fourier KPSS, flexible Fourier stationarity test, F-KPSS, KPSS with Fourier approximation | KPSS panel stationarity test, panel stationarity test, Hadri LM test, panel KPSS | ZA Test, Zivot-Andrews Break Test, Endogenous Break Unit-Root Test, Zivot-Andrews Birim Kök Testi |
| Relaterede≠ | 3 | 6 | 3 |
| Resumé≠ | The Fourier KPSS test extends the standard KPSS stationarity test by embedding a flexible Fourier series in the deterministic component of the model. This approach captures smooth, gradual structural breaks in the level or trend of a time series without requiring the researcher to specify the number or timing of those breaks, yielding more reliable inference under structural change. | The Panel KPSS test, introduced by Hadri (2000), tests the null hypothesis that all series in a panel are stationary against the alternative that some or all contain a unit root. It extends the univariate KPSS framework to panel data by aggregating individual LM statistics, providing higher power than unit-root tests when most series are in fact stationary. | The Zivot-Andrews (ZA) test, introduced by Eric Zivot and Donald Andrews in 1992, is a sequential unit-root test that allows for a single structural break at an unknown date. It extends the augmented Dickey-Fuller framework by endogenously selecting the break point that provides the strongest evidence against the unit-root null hypothesis, making it particularly useful for macroeconomic and financial time series that may have been disrupted by events such as policy changes, financial crises, or supply shocks. |
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