Võrdle meetodeid
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| GLS struktuurimuutustega× | Zivot-Andrewsi struktuurimurde test× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1998 (structural break GLS formalization) | 1992 |
| Looja≠ | Bai & Perron (1998); GLS framework by Aitken (1936) | Eric Zivot and Donald W. K. Andrews |
| Tüüp≠ | Regression estimator | Unit root test with endogenous structural break |
| Algallikas≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. 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 | GLS with structural breaks, break-adjusted GLS, structural change GLS, regime-switching GLS | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Seotud | 6 | 6 |
| Kokkuvõte≠ | Structural Break GLS combines Generalized Least Squares estimation with explicit allowance for regime shifts in the data-generating process. The method estimates separate coefficient vectors for each segment defined by detected break dates while correcting for non-spherical errors — heteroscedasticity or autocorrelation — that frequently accompany structural change, yielding consistent and efficient estimates across all regimes. | 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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