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| 패널 Zivot-Andrews 구조적 분절 단위근 검정× | Zivot-Andrews 구조적 변화 검정× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1992 (panel extension: 2000s) | 1992 |
| 창시자≠ | Zivot & Andrews (1992); extended to panel settings by subsequent literature | Eric Zivot and Donald W. K. Andrews |
| 유형 | Unit root test with endogenous structural break | Unit root test with endogenous structural break |
| 원전 | 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 ↗ | 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 | panel ZA test, panel structural break unit root test, Zivot-Andrews panel unit root test, panel endogenous break unit root test | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| 관련 | 6 | 6 |
| 요약≠ | The Panel Zivot-Andrews test extends the single-series Zivot-Andrews (1992) structural break unit root test to panel data, allowing each cross-sectional unit to have its own endogenously determined break date. It tests the null of a unit root against the alternative of stationarity with a one-time structural break, accounting for regime shifts that bias standard panel unit root tests toward false non-rejection. | 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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