Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Zivot-Andrewsi struktuurimurde test× | Phillips-Perroni juurtest× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1992 | 1988 |
| Looja≠ | Eric Zivot and Donald W. K. Andrews | Peter C. B. Phillips and Pierre Perron |
| Tüüp≠ | Unit root test with endogenous structural break | Hypothesis test (unit root) |
| Algallikas≠ | 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 ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Rööpnimetused | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test | PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test |
| Seotud≠ | 6 | 5 |
| Kokkuvõte≠ | 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. | The Phillips-Perron (PP) test is a nonparametric unit root test for time series that corrects for serial correlation and heteroscedasticity in the error term without adding lagged differences. Introduced by Phillips and Perron (1988), it applies a kernel-based long-run variance estimator to adjust the Dickey-Fuller statistic, making it robust to a wide class of weakly dependent error processes. |
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