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| Strukturel Brud NARDL× | Zivot-Andrews Strukturel Brud Test× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 2014–2018 | 1992 |
| Ophavsperson≠ | Shin, Yu & Greenwood-Nimmo (NARDL base); structural break extensions by subsequent applied researchers | Eric Zivot and Donald W. K. Andrews |
| Type≠ | Nonlinear cointegration with structural breaks | Unit root test with endogenous structural break |
| Oprindelig kilde≠ | Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In W. C. Horrace & R. C. Sickles (Eds.), Festschrift in Honor of Peter Schmidt (pp. 281–314). Springer. 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 | SB-NARDL, NARDL with structural breaks, nonlinear ARDL with break, asymmetric ARDL structural break | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Relaterede | 6 | 6 |
| Resumé≠ | Structural Break NARDL extends the Nonlinear Autoregressive Distributed Lag (NARDL) bounds-testing framework by explicitly accommodating one or more structural breaks in the long-run relationship. It separates positive and negative changes in the regressor, tests for cointegration, and allows regime shifts, providing a richer picture of asymmetric and break-sensitive dynamics between variables. | 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. |
| ScholarGateDatasæt ↗ |
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