Comparer des méthodes

	Test de Cointégration de Johansen avec Rupture Structurelle	Test de rupture structurelle de Zivot-Andrews
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2000–2001	1992
Auteur d'origine	Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001)	Eric Zivot and Donald W. K. Andrews
Type	Cointegration test / VECM estimation	Unit root test with endogenous structural break
Source fondatrice	Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254.	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	Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM	ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test
Apparentées	5	6
Résumé	The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes.	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.