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| Panel Zivot-Andrews Test for Unit Roots med Strukturelle Brud× | Panel KPSS-testen (Hadri Panel Stationarity Test)× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1992 (panel extension: 2000s) | 2000 |
| Ophavsperson≠ | Zivot & Andrews (1992); extended to panel settings by subsequent literature | Hadri (2000), extending Kwiatkowski, Phillips, Schmidt, and Shin (1992) |
| Type≠ | Unit root test with endogenous structural break | Panel stationarity test |
| Oprindelig kilde≠ | 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 ↗ | Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. Econometrics Journal, 3(2), 148-161. DOI ↗ |
| Aliasser | panel ZA test, panel structural break unit root test, Zivot-Andrews panel unit root test, panel endogenous break unit root test | KPSS panel stationarity test, panel stationarity test, Hadri LM test, panel KPSS |
| Relaterede | 6 | 6 |
| Resumé≠ | The Panel Zivot-Andrews test extends the single-series Zivot-Andrews (1992) structural break unit root test to panel data, allowing each cross-sectional unit to have its own endogenously determined break date. It tests the null of a unit root against the alternative of stationarity with a one-time structural break, accounting for regime shifts that bias standard panel unit root tests toward false non-rejection. | 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. |
| ScholarGateDatasæt ↗ |
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