Comparer des méthodes

	Test de racine unitaire avec rupture structurelle pour panel Zivot-Andrews	Test de racine unitaire Augmented Dickey-Fuller (ADF)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1992 (panel extension: 2000s)	1979–1984
Auteur d'origine	Zivot & Andrews (1992); extended to panel settings by subsequent literature	Said & Dickey (1984); building on Dickey & Fuller (1979)
Type	Unit root test with endogenous structural break	Hypothesis test (unit root)
Source fondatrice	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.	Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607.
Alias	panel ZA test, panel structural break unit root test, Zivot-Andrews panel unit root test, panel endogenous break unit root test	ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test
Apparentées	6	5
Résumé	The Panel Zivot-Andrews test extends the single-series Zivot-Andrews (1992) structural break unit root test to panel data, allowing each cross-sectional unit to have its own endogenously determined break date. It tests the null of a unit root against the alternative of stationarity with a one-time structural break, accounting for regime shifts that bias standard panel unit root tests toward false non-rejection.	The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance.