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Nonlinear Zivot-Andrews test/Evidence
Method evidence record

Nonlinear Zivot-Andrews test

The Nonlinear Zivot-Andrews test extends the classical Zivot-Andrews structural-break unit root test by embedding smooth-transition nonlinear adjustment into the test regression. It jointly searches for an endogenous structural break and allows the speed of mean-reversion to vary with distance from the attractor, producing more power against nonlinear stationary alternatives than either test alone.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Nonlinear Zivot-Andrews Unit Root Test
Taxonomic method record · regression-model / econometrics
  • 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
  • Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359–379. · DOI 10.1016/S0304-4076(02)00202-6
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Used in the same domainLee-Strazicich Testmachine-suggested · Relational suggestion, not evidence.Used in the same domainZivot-Andrews Testmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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