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| Test pierwiastka jednostkowego ze strukturalnym przełamaniem Zivot-Andrews× | Rozszerzony test pierwiastka jednostkowego Dickeya-Fullera (ADF)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1992 | 1979–1984 |
| Twórca≠ | Eric Zivot and Donald W. K. Andrews | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Typ≠ | Unit root test with endogenous structural break | Hypothesis test (unit root) |
| Źródło pierwotne≠ | 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 ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| Inne nazwy | Zivot-Andrews test, ZA unit root test, endogenous structural break unit root test, ZA breakpoint test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | The Zivot-Andrews test is an endogenous structural break unit root test that determines the break point from the data rather than imposing it externally. It tests for a unit root against the alternative of stationarity around a single structural break — in the mean, the trend, or both — choosing the break date that provides the strongest evidence against the null. | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. |
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