Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Prueba de raíz unitaria ADF con quiebre estructural× | Prueba de Ruptura Estructural de Zivot-Andrews× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1989-1992 | 1992 |
| Autor original≠ | Perron (1989); Zivot and Andrews (1992) | Eric Zivot and Donald W. K. Andrews |
| Tipo≠ | Unit root test with structural break | Unit root test with endogenous structural break |
| Fuente seminal≠ | Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. 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 ↗ |
| Alias | ADF with structural break, Perron unit root test, break-augmented ADF, unit root test with structural change | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Relacionados | 6 | 6 |
| Resumen≠ | The structural break ADF unit root test extends the standard Augmented Dickey-Fuller test to allow for one or more discrete shifts in the level or trend of a time series. Because ignoring a structural break inflates the apparent persistence of a series, this test prevents false acceptance of the unit root null when the series is actually stationary around a shifting mean or trend. | 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. |
| ScholarGateConjunto de datos ↗ |
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