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Ujian Kestabilan Punca Unit Lee-Strazicich dengan Dua Pecahan Struktur×Ujian Punca Unit Augmented Dickey-Fuller (ADF)×
BidangEkonometrikEkonometrik
KeluargaHypothesis testRegression model
Tahun asal20031979
PengasasJunsoo Lee & Mark StrazicichDavid A. Dickey & Wayne A. Fuller
JenisLagrange Multiplier unit-root test with two endogenous structural breaksUnit-root test for stationarity
Sumber perintisLee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082–1089. DOI ↗Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗
AliasLS Unit Root Test, Minimum LM Unit Root Test, Lee-Strazicich Two-Break Test, Lee-Strazicich LM TestiADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi
Berkaitan34
RingkasanThe Lee-Strazicich (2003) test is a Lagrange Multiplier-based unit-root test that allows for two endogenous structural breaks under both the null and alternative hypotheses. Proposed by Junsoo Lee and Mark C. Strazicich, it corrects a fundamental flaw in earlier break-based tests such as Zivot-Andrews, where structural breaks were permitted only under the alternative. By incorporating breaks under the null, the LS test avoids spurious rejections and provides size-correct inference in the presence of level or trend shifts.The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero.
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ScholarGateBandingkan kaedah: Lee-Strazicich Test · Augmented Dickey-Fuller Test. Dicapai 2026-06-17 daripada https://scholargate.app/ms/compare