Comparer des méthodes

	Test de racine unitaire de Zivot-Andrews à paramètres variant dans le temps	Test de rupture structurelle de Zivot-Andrews
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	ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break 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 (ZA) test is a unit root test that endogenously identifies the most likely location of a single structural break in a time series. Unlike the standard ADF test, it does not require the researcher to pre-specify when the break occurred, making it robust to data-driven regime shifts such as policy changes, financial crises, or major economic events.