Comparer des méthodes

	Test de racine unitaire de Zivot-Andrews à paramètres variant dans le temps	Test de racine unitaire Zivot-Andrews avec rupture structurelle
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1992 (base test); TVP adaptation in later applied work	1992
Auteur d'origine	Zivot & Andrews (1992); TVP extension in subsequent applied econometrics literature	Eric Zivot and Donald W. K. Andrews
Type	Unit root test with endogenous structural break under time-varying parameters	Unit root test with endogenous 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.	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.
Alias	TVP Zivot-Andrews test, time-varying Zivot-Andrews unit root test, TVP-ZA test	Zivot-Andrews test, ZA unit root test, endogenous structural break unit root test, ZA breakpoint test
Apparentées	6	6
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 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.