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| 시변 계수 Phillips-Perron 단위근 검정× | Zivot-Andrews 단위근 검정 (구조적 변동 포함)× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열≠ | Regression model | Hypothesis test |
| 기원 연도≠ | 1988-1999 | 1992 |
| 창시자≠ | Extension of Phillips & Perron (1988); TVP framework attributed to Hall & Luginbuhl (1999) and related literature | Eric Zivot & Donald Andrews |
| 유형≠ | Unit root test with time-varying parameters | Sequential unit-root test with endogenous break-point selection |
| 원전≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. 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 | TVP-PP unit root test, time-varying PP test, Phillips-Perron test with time-varying parameters, TVP unit root test | ZA Test, Zivot-Andrews Break Test, Endogenous Break Unit-Root Test, Zivot-Andrews Birim Kök Testi |
| 관련 | 3 | 3 |
| 요약≠ | The time-varying parameter PP unit root test extends the classical Phillips-Perron test by allowing the autoregressive coefficient to change over time. It detects stochastic non-stationarity in series whose persistence may shift across regimes or periods, offering more reliable inference when structural change is suspected in the data-generating process. | 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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