Comparer des méthodes

	Modèle Vector Error Correction avec Ruptures Structurelles (SB-VECM)	Test de rupture structurelle de Zivot-Andrews
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1996–2000	1992
Auteur d'origine	Gregory & Hansen (1996); Johansen, Mosconi & Nielsen (2000)	Eric Zivot and Donald W. K. Andrews
Type	Multivariate error correction model with structural breaks	Unit root test with endogenous structural break
Source fondatrice	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.	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	SB-VECM, VECM with regime shifts, cointegration model with structural breaks, break-augmented 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 VECM extends the standard Vector Error Correction Model to allow the cointegrating relationships, adjustment speeds, or short-run dynamics to shift at one or more known or estimated break dates. It preserves the long-run equilibrium framework of the VECM while explicitly modelling regime changes caused by policy shifts, crises, or institutional 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.