Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Nelineārais ADF vienības saknes tests (KSS tests)× | Zivot-Andrews strukturālās lūzuma vietas tests× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 2003 | 1992 |
| Autors≠ | Kapetanios, Shin, and Snell | Eric Zivot and Donald W. K. Andrews |
| Tips≠ | Nonlinear unit root test | Unit root test with endogenous structural break |
| Pirmavots≠ | Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. 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 ↗ |
| Citi nosaukumi | KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Saistītās | 6 | 6 |
| Kopsavilkums≠ | The Nonlinear ADF unit root test, most prominently operationalized by Kapetanios, Shin, and Snell (2003), extends the classical Augmented Dickey-Fuller test to detect mean reversion that occurs via an Exponential Smooth Transition Autoregressive (ESTAR) process. It tests the null of a unit root against a nonlinear stationary alternative, capturing adjustment dynamics that the standard linear ADF test misses. | 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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