Comparer des méthodes

	Test de racine unitaire de Zivot-Andrews à paramètres variant dans le temps	Test de racine unitaire de Phillips-Perron
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1992 (base test); TVP adaptation in later applied work	1988
Auteur d'origine	Zivot & Andrews (1992); TVP extension in subsequent applied econometrics literature	Peter C. B. Phillips and Pierre Perron
Type	Unit root test with endogenous structural break under time-varying parameters	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.	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
Alias	TVP Zivot-Andrews test, time-varying Zivot-Andrews unit root test, TVP-ZA test	PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test
Apparentées	6	5
Résumé	The time-varying parameter Zivot-Andrews test extends the classic Zivot-Andrews (1992) structural break unit root test by allowing the regression coefficients to evolve over time. Rather than assuming fixed parameters across the full sample, this approach lets the autoregressive dynamics and break timing adapt through a state-space or rolling framework, improving robustness when economic relationships shift gradually.	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.