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| KPSS 定常性検定× | Zivot-Andrews 単位根検定（構造的ブレーク1時点あり）× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統≠ | Regression model | Hypothesis test |
| 提唱年 | 1992 | 1992 |
| 提唱者≠ | Kwiatkowski, Phillips, Schmidt & Shin | Eric Zivot & Donald Andrews |
| 種類≠ | Stationarity test (reverse of unit-root tests) | Sequential unit-root test with endogenous break-point selection |
| 原典≠ | Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178. 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≠ | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi | ZA Test, Zivot-Andrews Break Test, Endogenous Break Unit-Root Test, Zivot-Andrews Birim Kök Testi |
| 関連≠ | 4 | 3 |
| 概要≠ | The KPSS test, introduced by Kwiatkowski, Phillips, Schmidt and Shin in 1992, tests the null hypothesis that a series is stationary against the alternative that it contains a unit root — the reverse of the ADF and Phillips-Perron tests. By flipping the burden of proof, it is designed to be used alongside unit-root tests so that the two can confirm one another and expose ambiguous, borderline cases. | The Zivot-Andrews (ZA) test, introduced by Eric Zivot and Donald Andrews in 1992, is a sequential unit-root test that allows for a single structural break at an unknown date. It extends the augmented Dickey-Fuller framework by endogenously selecting the break point that provides the strongest evidence against the unit-root null hypothesis, making it particularly useful for macroeconomic and financial time series that may have been disrupted by events such as policy changes, financial crises, or supply shocks. |
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