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| Modèle AR à rupture structurelle× | Test de rupture structurelle de Zivot-Andrews× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1989-2003 | 1992 |
| Auteur d'origine≠ | Perron (1989); Bai & Perron (1998, 2003) | Eric Zivot and Donald W. K. Andrews |
| Type≠ | Time-series model with structural change | Unit root test with endogenous structural break |
| Source fondatrice≠ | Bai, J., & Perron, P. (2003). Computation and analysis of multiple structural change models. Journal of Applied Econometrics, 18(1), 1-22. 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 | AR model with structural change, breakpoint AR model, piecewise autoregressive model, AR model with regime shifts | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Apparentées | 6 | 6 |
| Résumé≠ | The structural break AR model extends the standard autoregressive framework by allowing the intercept and autoregressive coefficients to shift at one or more unknown break dates. Each regime between consecutive break points is governed by its own AR parameters, capturing abrupt changes in the dynamics of a time series caused by crises, policy shifts, or other shocks. | 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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