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| 강건한 지보-앤드류스 검정× | Lumsdaine-Papell 두 구조적 변화 단위근 검정× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열≠ | Regression model | Hypothesis test |
| 기원 연도≠ | 1992 (original); 2000s (robust variants) | 1997 |
| 창시자≠ | Zivot & Andrews (1992); robust extensions by subsequent literature | Robin Lumsdaine & David Papell |
| 유형≠ | Unit root test with endogenous structural break | Sequential two-break unit-root test |
| 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 ↗ | Lumsdaine, R. L., & Papell, D. H. (1997). Multiple trend breaks and the unit-root hypothesis. Review of Economics and Statistics, 79(2), 212–218. DOI ↗ |
| 별칭 | robust ZA test, ZA test with robust inference, Zivot-Andrews test with heteroscedasticity-robust critical values, structural break unit root test | LP Test, Two-Break Unit-Root Test, Double Structural Break Unit-Root Test, Lumsdaine-Papell İki Kırılmalı Birim Kök Testi |
| 관련≠ | 5 | 3 |
| 요약≠ | The Robust Zivot-Andrews test extends the classic Zivot-Andrews (1992) unit root test to provide reliable inference when the error term may be heteroscedastic or non-normal. It tests whether a time series has a unit root while endogenously identifying a single structural break in the level, trend, or both, without requiring the researcher to pre-specify the break date. | The Lumsdaine-Papell test, introduced by Robin Lumsdaine and David Papell in 1997, extends the Zivot-Andrews single-break unit-root test to allow for two simultaneous structural breaks in the intercept and/or linear trend of a time series. It is widely used in macroeconomics and finance when data are suspected to have experienced two major regime shifts — such as policy changes, financial crises, or wars — and the researcher needs to determine whether the series is nonetheless integrated of order one. |
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