Comparer des méthodes

	Test de racine unitaire Robuste de Phillips-Perron (PP)	Test de rupture structurelle de Zivot-Andrews
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1988 (base); 2000s–2010s (robust extensions)	1992
Auteur d'origine	Phillips & Perron (1988); robustification by Cavaliere & Taylor (2008) and related authors	Eric Zivot and Donald W. K. Andrews
Type	Unit root / stationarity test	Unit root test with endogenous structural break
Source fondatrice	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.	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 Phillips-Perron test, heteroskedasticity-robust PP test, nonparametric robust unit root test, robust PP	ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test
Apparentées	6	6
Résumé	The Robust Phillips-Perron unit root test extends the classical PP test by applying corrections — such as heteroskedasticity-consistent covariance estimation or wild-bootstrap critical values — that maintain valid inference when the error variance of a time series is non-constant or exhibits unconditional heteroskedasticity, conditions under which the standard PP test is severely size-distorted.	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.