השוואת שיטות
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| מודל ממוצעים נעים (MA) עם שבר מבני× | מבחן Zivot-Andrews לשבר מבני× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1989–1992 | 1992 |
| הוגה השיטה≠ | Perron (1989); Zivot & Andrews (1992) | Eric Zivot and Donald W. K. Andrews |
| סוג≠ | Time series model with structural change | Unit root test with endogenous structural break |
| מקור מכונן≠ | Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361–1401. DOI ↗ | 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 ↗ |
| כינויים | MA model with structural change, broken MA model, MA with regime shift, structural break moving average | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| קשורות≠ | 5 | 6 |
| תקציר≠ | A Moving Average (MA) time series model augmented to accommodate one or more structural breaks — abrupt shifts in the mean, variance, or MA coefficients occurring at known or unknown break dates. Ignoring structural breaks in an MA process inflates forecast errors and distorts inference on the error dynamics. | 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. |
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