Confronta i metodi
Esamina i metodi selezionati fianco a fianco; le righe che differiscono sono evidenziate.
| Test di radice unitaria ADF di Fourier× | Test di Zivot-Andrews per la Rottura Strutturale× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2006-2012 | 1992 |
| Ideatore≠ | Becker, Enders, and Lee; Enders and Lee | Eric Zivot and Donald W. K. Andrews |
| Tipo≠ | Unit root test with smooth structural breaks | Unit root test with endogenous structural break |
| Fonte seminale≠ | Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. 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 ↗ |
| Alias | Fourier ADF test, FADF test, Flexible Fourier ADF, Fourier-based ADF unit root test | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Correlati | 6 | 6 |
| Sintesi≠ | The Fourier ADF unit root test extends the standard Augmented Dickey-Fuller framework by incorporating low-frequency Fourier terms into the deterministic component. This allows the test to approximate smooth, gradual structural breaks in the level or trend of a time series without requiring prior knowledge of break number, timing, or form. | 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. |
| ScholarGateInsieme di dati ↗ |
|
|