Comparer des méthodes

	Test de racine unitaire avec rupture structurelle pour panel Zivot-Andrews	Test de cointégration de Panel Engle-Granger
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1992 (panel extension: 2000s)	1999
Auteur d'origine	Zivot & Andrews (1992); extended to panel settings by subsequent literature	Pedroni (1999), extending Engle & Granger (1987)
Type	Unit root test with endogenous structural break	Cointegration test
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.	Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61(S1), 653-670.
Alias	panel ZA test, panel structural break unit root test, Zivot-Andrews panel unit root test, panel endogenous break unit root test	panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration
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 Panel Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure to panel data, allowing researchers to detect long-run equilibrium relationships among integrated variables across multiple cross-sectional units simultaneously. Pedroni (1999) developed panel statistics that pool information across units while allowing heterogeneous short-run dynamics and individual-specific intercepts and trends.