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Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Test de rupture structurelle de Zivot-Andrews× | Autoregressive Vectoriel (VAR)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1992 | 1980 |
| Auteur d'origine≠ | Eric Zivot and Donald W. K. Andrews | Christopher A. Sims |
| Type≠ | Unit root test with endogenous structural break | Multivariate time-series model |
| 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 ↗ | Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. DOI ↗ |
| Alias | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test | VAR, VAR model, vector autoregressive model, multivariate autoregression |
| Apparentées≠ | 6 | 5 |
| Résumé≠ | 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. | Vector Autoregression is a multivariate time-series model in which each variable is regressed on its own lags and the lags of all other variables in the system. Originally proposed by Sims (1980) as a data-driven alternative to large structural macroeconomic models, VAR has become the standard workhorse for dynamic analysis in empirical economics and finance. |
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