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| Zivot-Andrews-Bruchtest× | Engle-Granger-Kointegrationstest× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1992 | 1987 |
| Urheber≠ | Eric Zivot and Donald W. K. Andrews | Robert F. Engle and Clive W. J. Granger |
| Typ≠ | Unit root test with endogenous structural break | Cointegration test |
| Wegweisende Quelle≠ | 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 ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Aliasnamen | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Verwandt≠ | 6 | 5 |
| Zusammenfassung≠ | 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. | The Engle-Granger two-step method tests whether two or more non-stationary I(1) time series share a common stochastic trend — that is, whether a linear combination of them is stationary. If cointegration is confirmed, an error-correction model (ECM) can be estimated to capture both short-run dynamics and long-run equilibrium adjustment. |
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