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Robust Zivot-Andrews test/Evidence
Method evidence record

Robust Zivot-Andrews test

The Robust Zivot-Andrews test extends the classic Zivot-Andrews (1992) unit root test to provide reliable inference when the error term may be heteroscedastic or non-normal. It tests whether a time series has a unit root while endogenously identifying a single structural break in the level, trend, or both, without requiring the researcher to pre-specify the break date.

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

Robust Zivot-Andrews Structural Break 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
  • Zivot-Andrews test. Wikipedia. · URL
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Related methods

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Used in the same domainBai-Perron Testmachine-suggested · Relational suggestion, not evidence.Used in the same domainLee-Strazicich Testmachine-suggested · Relational suggestion, not evidence.Used in the same domainLumsdaine-Papell Testmachine-suggested · Relational suggestion, not evidence.Same method familyPhillips-Perron 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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