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| Test de racine unitaire Zivot-Andrews avec rupture structurelle× | Test de racine unitaire de Phillips-Perron× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1992 | 1988 |
| Auteur d'origine≠ | Eric Zivot and Donald W. K. Andrews | Peter C. B. Phillips and Pierre Perron |
| Type≠ | Unit root test with endogenous structural break | Hypothesis test (unit root) |
| Source fondatrice≠ | 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 ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Alias | Zivot-Andrews test, ZA unit root test, endogenous structural break unit root test, ZA breakpoint test | PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test |
| Apparentées≠ | 6 | 5 |
| Résumé≠ | The Zivot-Andrews test is an endogenous structural break unit root test that determines the break point from the data rather than imposing it externally. It tests for a unit root against the alternative of stationarity around a single structural break — in the mean, the trend, or both — choosing the break date that provides the strongest evidence against the null. | The Phillips-Perron (PP) test is a nonparametric unit root test for time series that corrects for serial correlation and heteroscedasticity in the error term without adding lagged differences. Introduced by Phillips and Perron (1988), it applies a kernel-based long-run variance estimator to adjust the Dickey-Fuller statistic, making it robust to a wide class of weakly dependent error processes. |
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