Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Teste de Raiz Unitária de Zivot-Andrews com uma Quebra Estrutural× | Teste de Raiz Unitária LM de Lee-Strazicich com Duas Quebras Estruturais× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Hypothesis test | Hypothesis test |
| Ano de origem≠ | 1992 | 2003 |
| Autor original≠ | Eric Zivot & Donald Andrews | Junsoo Lee & Mark Strazicich |
| Tipo≠ | Sequential unit-root test with endogenous break-point selection | Lagrange Multiplier unit-root test with two endogenous structural breaks |
| 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 ↗ | Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082–1089. DOI ↗ |
| Outros nomes | ZA Test, Zivot-Andrews Break Test, Endogenous Break Unit-Root Test, Zivot-Andrews Birim Kök Testi | LS Unit Root Test, Minimum LM Unit Root Test, Lee-Strazicich Two-Break Test, Lee-Strazicich LM Testi |
| Relacionados | 3 | 3 |
| Resumo≠ | 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. | The Lee-Strazicich (2003) test is a Lagrange Multiplier-based unit-root test that allows for two endogenous structural breaks under both the null and alternative hypotheses. Proposed by Junsoo Lee and Mark C. Strazicich, it corrects a fundamental flaw in earlier break-based tests such as Zivot-Andrews, where structural breaks were permitted only under the alternative. By incorporating breaks under the null, the LS test avoids spurious rejections and provides size-correct inference in the presence of level or trend shifts. |
| ScholarGateConjunto de dados ↗ |
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