Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Struktuurilise katkestusega ARCH-mudel× | Zivot-Andrewsi struktuurimurde test× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1982–1990 | 1992 |
| Looja≠ | Engle (1982) for ARCH; Lamoureux & Lastrapes (1990) for break-adjusted variance persistence | Eric Zivot and Donald W. K. Andrews |
| Tüüp≠ | Volatility model with regime change | Unit root test with endogenous structural break |
| Algallikas≠ | Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. 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 ↗ |
| Rööpnimetused | ARCH with structural breaks, break-adjusted ARCH, regime-switching ARCH, SB-ARCH | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Seotud≠ | 5 | 6 |
| Kokkuvõte≠ | The Structural Break ARCH model extends Engle's (1982) Autoregressive Conditional Heteroscedasticity framework by explicitly accounting for abrupt, permanent shifts in the conditional variance process. Ignoring structural breaks in variance causes ARCH parameters to appear spuriously persistent, so incorporating break dummies or regime-specific parameters yields more accurate volatility estimates and better model fit. | 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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