Comparar métodos

	Teste de Cointegração de Gregory-Hansen com Mudança de Regime	Teste de Raiz Unitária de Zivot-Andrews com uma Quebra Estrutural
Área	Econometria	Econometria
Família	Hypothesis test	Hypothesis test
Ano de origem	1996	1992
Autor original	Allan Gregory & Bruce Hansen	Eric Zivot & Donald Andrews
Tipo	Residual-based structural break cointegration test	Sequential unit-root test with endogenous break-point selection
Fonte seminal	Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99–126.	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.
Outros nomes	GH Cointegration Test, Gregory-Hansen Regime Shift Test, Residual-Based Cointegration Test with Structural Break, Rejim Değişimli Koentegrasyon Testi	ZA Test, Zivot-Andrews Break Test, Endogenous Break Unit-Root Test, Zivot-Andrews Birim Kök Testi
Relacionados	3	3
Resumo	The Gregory-Hansen test, introduced by Allan Gregory and Bruce Hansen in 1996, extends the standard Engle-Granger cointegration framework to allow for a single unknown structural break in the cointegrating relationship. It is designed for researchers who suspect that the long-run equilibrium between integrated variables may have shifted at some point during the sample period, and who wish to test for cointegration without presupposing the break date.	The Zivot-Andrews (ZA) test, introduced by Eric Zivot and Donald Andrews in 1992, is a sequential unit-root test that allows for a single structural break at an unknown date. It extends the augmented Dickey-Fuller framework by endogenously selecting the break point that provides the strongest evidence against the unit-root null hypothesis, making it particularly useful for macroeconomic and financial time series that may have been disrupted by events such as policy changes, financial crises, or supply shocks.