Comparer des méthodes

	Test KPSS avec rupture structurelle	Test de racine unitaire ADF avec rupture structurelle
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2002-2005	1989-1992
Auteur d'origine	Kurozumi (2002); Carrion-i-Silvestre, Del Barrio & Lopez-Bazo (2005)	Perron (1989); Zivot and Andrews (1992)
Type	Stationarity test with structural breaks	Unit root test with structural break
Source fondatrice	Carrion-i-Silvestre, J. L., Del Barrio, T., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8(2), 159-175.	Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401.
Alias	KPSS test with breaks, structural break stationarity test, KPSS break test, SB-KPSS	ADF with structural break, Perron unit root test, break-augmented ADF, unit root test with structural change
Apparentées	6	6
Résumé	The structural break KPSS test extends the standard Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test to allow for one or more known or unknown structural breaks in the level or trend of a time series. Under the null hypothesis the series is stationary around a broken deterministic component, enabling researchers to distinguish genuine unit-root behaviour from apparent non-stationarity caused by regime shifts.	The structural break ADF unit root test extends the standard Augmented Dickey-Fuller test to allow for one or more discrete shifts in the level or trend of a time series. Because ignoring a structural break inflates the apparent persistence of a series, this test prevents false acceptance of the unit root null when the series is actually stationary around a shifting mean or trend.