手法を比較

	Zivot-Andrews構造変化検定	自己回帰和分移動平均モデル (ARIMA Model)
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1992	1970
提唱者	Eric Zivot and Donald W. K. Andrews	George Box and Gwilym Jenkins
種類	Unit root test with endogenous structural break	Time series forecasting model
原典	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.	Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day.
別名	ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test	ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q)
関連	6	6
概要	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.	The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics.