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| Robust Augmenterad Dickey-Fuller-test för enhetsrot× | Zivot-Andrews strukturbrottest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1996-2001 | 1992 |
| Upphovsperson≠ | Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996) | Eric Zivot and Donald W. K. Andrews |
| Typ≠ | Unit root / stationarity test | Unit root test with endogenous structural break |
| Ursprungskälla≠ | Ng, S., and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554. 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 ↗ |
| Alias | robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Närliggande | 6 | 6 |
| Sammanfattning≠ | The Robust ADF unit root test extends the classical ADF procedure with improvements that correct for size distortions arising from heteroscedastic or serially correlated errors, and from poor lag-length selection. Drawing on GLS detrending (Elliott, Rothenberg, and Stock 1996) and modified information criteria (Ng and Perron 2001), it delivers reliable size and power in the presence of non-standard error processes common in macroeconomic and financial time series. | 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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