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Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Structural Break WLS× | Test de rupture structurelle de Zivot-Andrews× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1998 (break framework); WLS long-established | 1992 |
| Auteur d'origine≠ | Bai & Perron (structural break framework); WLS classical | Eric Zivot and Donald W. K. Andrews |
| Type≠ | Weighted regression with regime shifts | Unit root test with endogenous structural break |
| Source fondatrice≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47-78. 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 | WLS with structural change, break-corrected WLS, segmented WLS, structural break weighted regression | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Apparentées≠ | 5 | 6 |
| Résumé≠ | Structural Break WLS combines Weighted Least Squares estimation with explicit detection and correction for structural breaks — abrupt regime shifts — in the data. By identifying break points and assigning observation-level weights that account for heteroscedasticity within and across regimes, the estimator delivers consistent, efficient coefficient estimates even when the error variance changes dramatically at a break. | 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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