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| 비선형 KPSS 검정× | Zivot-Andrews 단위근 검정 (구조적 변동 포함)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열≠ | Regression model | Hypothesis test |
| 기원 연도≠ | 2006 | 1992 |
| 창시자≠ | Becker, Enders & Lee | Eric Zivot & Donald Andrews |
| 유형≠ | Stationarity test (null: stationary) | Sequential unit-root test with endogenous break-point selection |
| 원전≠ | Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. 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 ↗ |
| 별칭 | KPSS nonlinearity test, nonlinear stationarity test, flexible Fourier KPSS, NL-KPSS | ZA Test, Zivot-Andrews Break Test, Endogenous Break Unit-Root Test, Zivot-Andrews Birim Kök Testi |
| 관련 | 3 | 3 |
| 요약≠ | The nonlinear KPSS test extends the classic Kwiatkowski-Phillips-Schmidt-Shin stationarity test by modelling unknown smooth structural breaks in the deterministic trend using a Fourier approximation. Under the null hypothesis the series is stationary around a flexible nonlinear trend, guarding against spurious unit-root findings caused by regime shifts or gradual transitions. | 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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