Panel Zivot-Andrews Test for Unit Roots med Strukturelle Brud
Panel Zivot-Andrews-testen udvider Zivot-Andrews (1992) testen for unit roots med strukturelle brud for enkelte tidsserier til paneldata, hvilket tillader hver tværsnitsenhed at have sin egen endogent bestemte brudsdato. Den tester nulhypotesen om et unit root mod alternativet om stationaritet med et enkelt strukturelt brud, idet der tages højde for regimeskift, som standard panel-unit root-tests fejlagtigt favoriserer ikke-forkastelse af.
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Kilder
- 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: 10.1080/07350015.1992.10509904 ↗
- Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61(S1), 653–670. DOI: 10.1111/1468-0084.0610s1653 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Panel Zivot-Andrews Structural Break Unit Root Test. ScholarGate. https://scholargate.app/da/econometrics/panel-zivot-andrews-test
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Augmented Dickey-Fuller (ADF) EnhedsrodstestØkonometri↔ compare
- Panel ADF Unit Root TestØkonometri↔ compare
- Panel Engle-Granger KointegrationstestØkonometri↔ compare
- Panel KPSS-testen (Hadri Panel Stationarity Test)Økonometri↔ compare
- Panel Phillips-Perron enhedsrodstestØkonometri↔ compare
- Zivot-Andrews Strukturel Brud TestØkonometri↔ compare
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