Krahasoni metodat
Shqyrtoni metodat e zgjedhura krah për krah; rreshtat që ndryshojnë janë të theksuar.
| Model VAR me Ndërprerje Strukturore× | Testi Zivot-Andrews për Ndërprerje Strukturore× | |
|---|---|---|
| Fusha | Ekonometri | Ekonometri |
| Familja | Regression model | Regression model |
| Viti i origjinës≠ | 1980–1998 | 1992 |
| Krijuesi≠ | Bai & Perron (structural breaks); Sims (VAR framework) | Eric Zivot and Donald W. K. Andrews |
| Lloji≠ | Multivariate time series model with regime change | Unit root test with endogenous structural break |
| Burimi themelues≠ | Bai, J., & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66(1), 47–78. 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 ↗ |
| Emërtime të tjera | VAR with structural breaks, break-point VAR, regime-switching VAR, SB-VAR | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Të lidhura | 6 | 6 |
| Përmbledhja≠ | The Structural Break VAR model extends the standard Vector Autoregression (VAR) framework by allowing coefficient matrices and error covariance to shift at one or more unknown break dates. It is designed for multivariate time series where economic relationships change abruptly due to policy shifts, financial crises, or major structural events. | 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. |
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