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| Test de racine unitaire Zivot-Andrews avec rupture structurelle× | Test de Causalité de Toda-Yamamoto× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1992 | 1995 |
| Auteur d'origine≠ | Eric Zivot and Donald W. K. Andrews | Toda, H. Y. and Yamamoto, T. |
| Type≠ | Unit root test with endogenous structural break | Causality test |
| 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 ↗ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. DOI ↗ |
| Alias | Zivot-Andrews test, ZA unit root test, endogenous structural break unit root test, ZA breakpoint test | Toda-Yamamoto test, TY causality test, modified Wald test for Granger causality, TY-MWALD |
| 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 Toda-Yamamoto (TY) causality test is a modified Wald procedure for testing Granger causality in vector autoregressions (VARs) estimated in levels, even when variables are nonstationary or cointegrated. By intentionally over-fitting the VAR with extra lags equal to the maximum integration order, it restores the standard chi-squared asymptotic distribution of the Wald statistic without requiring prior unit-root or cointegration pretesting. |
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