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| 非線形PP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 (base); 2000s (nonlinear extensions) | 1992 |
| 提唱者≠ | Phillips & Perron (1988); nonlinear extensions by Kapetanios, Shin & Snell (2003) and related authors | Eric Zivot and Donald W. K. Andrews |
| 種類≠ | Unit root test with nonlinear adjustment | 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 | Nonlinear PP test, Nonlinear Phillips-Perron test, PP unit root test with nonlinear adjustment, nonlinear PP | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| 関連 | 6 | 6 |
| 概要≠ | The Nonlinear Phillips-Perron unit root test extends the classic PP test by allowing the adjustment toward equilibrium to follow a nonlinear path — such as a smooth transition or threshold mechanism — rather than assuming a constant linear speed of adjustment. This makes it more powerful when the true data-generating process involves regime-dependent or asymmetric mean-reversion 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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