Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Teste de Raiz Unitária com Quebra Estrutural de Zivot-Andrews× | Teste de Cointegração de Engle-Granger× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1992 | 1987 |
| Autor original≠ | Eric Zivot and Donald W. K. Andrews | Robert F. Engle and Clive W. J. Granger |
| Tipo≠ | Unit root test with endogenous structural break | Cointegration test |
| Fonte seminal≠ | 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 ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Outros nomes | Zivot-Andrews test, ZA unit root test, endogenous structural break unit root test, ZA breakpoint test | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Relacionados≠ | 6 | 5 |
| Resumo≠ | 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 Engle-Granger two-step method tests whether two or more non-stationary I(1) time series share a common stochastic trend — that is, whether a linear combination of them is stationary. If cointegration is confirmed, an error-correction model (ECM) can be estimated to capture both short-run dynamics and long-run equilibrium adjustment. |
| ScholarGateConjunto de dados ↗ |
|
|