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| Test pierwiastka jednostkowego ze strukturalnym przełamaniem Zivot-Andrews× | Test pierwiastka jednostkowego ADF z uwzględnieniem łamania strukturalnego× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 1992 | 1989-1992 |
| Twórca≠ | Eric Zivot and Donald W. K. Andrews | Perron (1989); Zivot and Andrews (1992) |
| Typ≠ | Unit root test with endogenous structural break | Unit root test with structural break |
| 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 ↗ | Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. DOI ↗ |
| Inne nazwy | Zivot-Andrews test, ZA unit root test, endogenous structural break unit root test, ZA breakpoint test | ADF with structural break, Perron unit root test, break-augmented ADF, unit root test with structural change |
| Pokrewne | 6 | 6 |
| 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 structural break ADF unit root test extends the standard Augmented Dickey-Fuller test to allow for one or more discrete shifts in the level or trend of a time series. Because ignoring a structural break inflates the apparent persistence of a series, this test prevents false acceptance of the unit root null when the series is actually stationary around a shifting mean or trend. |
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