Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Test de racine unitaire bayésien ADF× | Test de rupture structurelle de Zivot-Andrews× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1991–1992 | 1992 |
| Auteur d'origine≠ | Sims & Uhlig (1991); Koop, Osiewalski & Steel (1992) | Eric Zivot and Donald W. K. Andrews |
| Type≠ | Bayesian hypothesis test | Unit root test with endogenous structural break |
| Source fondatrice≠ | Sims, C. A., & Uhlig, H. (1991). Understanding unit rooters: A helicopter tour. Econometrica, 59(6), 1591–1599. 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 | Bayesian ADF test, Bayesian unit root test, Bayesian Dickey-Fuller, BADF | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Apparentées | 6 | 6 |
| Résumé≠ | The Bayesian Augmented Dickey-Fuller (BADF) unit root test re-frames the classical ADF test within a Bayesian framework. Rather than computing a frequentist p-value, it quantifies evidence for or against a unit root by comparing posterior probabilities or Bayes factors under the null (unit root) and alternative (stationarity) hypotheses, incorporating prior beliefs about the autoregressive parameter. | 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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