Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Teste de Raiz Unitária de Fourier Phillips-Perron (Fourier PP)× | Teste de Quebra Estrutural de Zivot-Andrews× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 2006 | 1992 |
| Autor original≠ | Becker, Enders, and Lee | Eric Zivot and Donald W. K. Andrews |
| Tipo≠ | Unit root test with Fourier approximation | Unit root test with endogenous structural break |
| Fonte seminal≠ | Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business and Economic Statistics, 19(2), 166-176. 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 ↗ |
| Outros nomes | Fourier PP test, Flexible Fourier PP unit root test, Enders-Lee Fourier PP test, nonlinear PP unit root test | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Relacionados | 6 | 6 |
| Resumo≠ | The Fourier PP unit root test extends the classical Phillips-Perron test by embedding low-frequency Fourier terms in the deterministic component, enabling the test to account for an unknown number of smooth, gradual structural breaks in the level or trend without pre-specifying their timing or shape. | 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. |
| ScholarGateConjunto de dados ↗ |
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