Methoden vergleichen
Prüfen Sie die ausgewählten Methoden nebeneinander; abweichende Zeilen sind hervorgehoben.
| Bayesian Phillips-Perron-Einheitswurzeltest× | Zivot-Andrews-Bruchtest× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1988 / early 1990s | 1992 |
| Urheber≠ | Phillips & Perron (classical test, 1988); Bayesian framework: Sims & Uhlig (1991) | Eric Zivot and Donald W. K. Andrews |
| Typ≠ | Unit root test (Bayesian) | Unit root test with endogenous structural break |
| Wegweisende Quelle≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. 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 ↗ |
| Aliasnamen | Bayesian PP test, Bayesian Phillips-Perron test, Bayesian nonparametric unit root test, Bayes PP unit root | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Verwandt≠ | 5 | 6 |
| Zusammenfassung≠ | The Bayesian Phillips-Perron unit root test combines the nonparametric long-run variance correction of the classical Phillips-Perron test with a Bayesian inferential framework. Instead of a p-value, it yields a posterior probability or Bayes factor quantifying evidence for or against a unit root, allowing researchers to incorporate prior economic knowledge and obtain probability statements directly about the persistence of a time series. | 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. |
| ScholarGateDatensatz ↗ |
|
|