Vertaile menetelmiä

	Strukturaalisen katkon Toda-Yamamoto-kausaatiotesti	Zivot-Andrews Structural Break Test
Tieteenala	Ekonometria	Ekonometria
Menetelmäperhe	Regression model	Regression model
Syntyvuosi	1995 (base); structural break extensions widely adopted 2000s–2010s	1992
Kehittäjä	Toda & Yamamoto (1995); structural break extensions by Zivot & Andrews (1992) and subsequent applied literature	Eric Zivot and Donald W. K. Andrews
Tyyppi	Causality test	Unit root test with endogenous structural break
Alkuperäislähde	Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250.	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.
Rinnakkaisnimet	SB-TY causality, structural break modified Wald test causality, Fourier Toda-Yamamoto causality, causality with regime shifts	ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test
Liittyvät	6	6
Tiivistelmä	The structural break Toda-Yamamoto causality test extends the standard Toda-Yamamoto modified Wald (MWALD) procedure to accommodate one or more structural breaks in the time series. By identifying break dates first and then including dummy variables in the augmented VAR, the test maintains its valid asymptotic chi-squared distribution regardless of the integration or cointegration order of the variables, even in the presence of regime shifts.	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.