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| Nichtlinearer PP-Einheitswurzeltest× | Zivot-Andrews-Bruchtest× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1988 (base); 2000s (nonlinear extensions) | 1992 |
| Urheber≠ | Phillips & Perron (1988); nonlinear extensions by Kapetanios, Shin & Snell (2003) and related authors | Eric Zivot and Donald W. K. Andrews |
| Typ≠ | Unit root test with nonlinear adjustment | 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 | Nonlinear PP test, Nonlinear Phillips-Perron test, PP unit root test with nonlinear adjustment, nonlinear PP | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Verwandt | 6 | 6 |
| Zusammenfassung≠ | The Nonlinear Phillips-Perron unit root test extends the classic PP test by allowing the adjustment toward equilibrium to follow a nonlinear path — such as a smooth transition or threshold mechanism — rather than assuming a constant linear speed of adjustment. This makes it more powerful when the true data-generating process involves regime-dependent or asymmetric mean-reversion dynamics. | 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. |
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