Comparer des méthodes

	Test de racine unitaire robuste de Dickey-Fuller augmenté	Test de rupture structurelle de Zivot-Andrews
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1996-2001	1992
Auteur d'origine	Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996)	Eric Zivot and Donald W. K. Andrews
Type	Unit root / stationarity test	Unit root test with endogenous structural break
Source fondatrice	Ng, S., and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554.	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.
Alias	robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF	ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test
Apparentées	6	6
Résumé	The Robust ADF unit root test extends the classical ADF procedure with improvements that correct for size distortions arising from heteroscedastic or serially correlated errors, and from poor lag-length selection. Drawing on GLS detrending (Elliott, Rothenberg, and Stock 1996) and modified information criteria (Ng and Perron 2001), it delivers reliable size and power in the presence of non-standard error processes common in macroeconomic and financial time series.	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.