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| ベイズ型Phillips-Perron単位根検定× | Zivot-Andrews構造変化検定× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1988 / early 1990s | 1992 |
| 提唱者≠ | Phillips & Perron (classical test, 1988); Bayesian framework: Sims & Uhlig (1991) | Eric Zivot and Donald W. K. Andrews |
| 種類≠ | Unit root test (Bayesian) | Unit root test with endogenous structural break |
| 原典≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. 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 ↗ |
| 別名 | Bayesian PP test, Bayesian Phillips-Perron test, Bayesian nonparametric unit root test, Bayes PP unit root | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| 関連≠ | 5 | 6 |
| 概要≠ | The Bayesian Phillips-Perron unit root test combines the nonparametric long-run variance correction of the classical Phillips-Perron test with a Bayesian inferential framework. Instead of a p-value, it yields a posterior probability or Bayes factor quantifying evidence for or against a unit root, allowing researchers to incorporate prior economic knowledge and obtain probability statements directly about the persistence of a time series. | 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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