Comparer des méthodes

	Test de racine unitaire Zivot-Andrews avec rupture structurelle	Test de racine unitaire ADF avec rupture structurelle
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1992	1989-1992
Auteur d'origine	Eric Zivot and Donald W. K. Andrews	Perron (1989); Zivot and Andrews (1992)
Type	Unit root test with endogenous structural break	Unit root test with structural break
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.	Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401.
Alias	Zivot-Andrews test, ZA unit root test, endogenous structural break unit root test, ZA breakpoint test	ADF with structural break, Perron unit root test, break-augmented ADF, unit root test with structural change
Apparentées	6	6
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 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.