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| 증강된 Dickey-Fuller (ADF) 단위근 검정× | Lee-Strazicich LM 단위근 검정 (두 개의 구조적 변화 포함)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열≠ | Regression model | Hypothesis test |
| 기원 연도≠ | 1979 | 2003 |
| 창시자≠ | David A. Dickey & Wayne A. Fuller | Junsoo Lee & Mark Strazicich |
| 유형≠ | Unit-root test for stationarity | Lagrange Multiplier unit-root test with two endogenous structural breaks |
| 원전≠ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ | Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082–1089. DOI ↗ |
| 별칭 | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi | LS Unit Root Test, Minimum LM Unit Root Test, Lee-Strazicich Two-Break Test, Lee-Strazicich LM Testi |
| 관련≠ | 4 | 3 |
| 요약≠ | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. | The Lee-Strazicich (2003) test is a Lagrange Multiplier-based unit-root test that allows for two endogenous structural breaks under both the null and alternative hypotheses. Proposed by Junsoo Lee and Mark C. Strazicich, it corrects a fundamental flaw in earlier break-based tests such as Zivot-Andrews, where structural breaks were permitted only under the alternative. By incorporating breaks under the null, the LS test avoids spurious rejections and provides size-correct inference in the presence of level or trend shifts. |
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