手法を比較

	フーリエ版 Zivot-Andrews 単位根検定	構造的ブレーク単位根ADF検定
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2012	1989-1992
提唱者	Enders & Lee (2012), extending Zivot & Andrews (1992)	Perron (1989); Zivot and Andrews (1992)
種類	Unit root test with smooth structural break	Unit root test with structural break
原典	Enders, W., & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599.	Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401.
別名	Fourier ZA test, FZA unit root test, Fourier structural break unit root test, smooth structural break ADF test	ADF with structural break, Perron unit root test, break-augmented ADF, unit root test with structural change
関連	6	6
概要	The Fourier Zivot-Andrews test extends the classic Zivot-Andrews (1992) unit root test by replacing sharp, single structural break dummies with a low-frequency Fourier approximation, allowing the test to accommodate smooth, gradual, and multiple unknown breaks in the level or trend of a series.	The structural break ADF unit root test extends the standard Augmented Dickey-Fuller test to allow for one or more discrete shifts in the level or trend of a time series. Because ignoring a structural break inflates the apparent persistence of a series, this test prevents false acceptance of the unit root null when the series is actually stationary around a shifting mean or trend.