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| Strukturell brytning i MA-modell× | Zivot-Andrews strukturbrottest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1989–1992 | 1992 |
| Upphovsperson≠ | Perron (1989); Zivot & Andrews (1992) | Eric Zivot and Donald W. K. Andrews |
| Typ≠ | Time series model with structural change | Unit root test with endogenous structural break |
| Ursprungskälla≠ | Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361–1401. 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 | MA model with structural change, broken MA model, MA with regime shift, structural break moving average | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Närliggande≠ | 5 | 6 |
| Sammanfattning≠ | A Moving Average (MA) time series model augmented to accommodate one or more structural breaks — abrupt shifts in the mean, variance, or MA coefficients occurring at known or unknown break dates. Ignoring structural breaks in an MA process inflates forecast errors and distorts inference on the error dynamics. | 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. |
| ScholarGateDatamängd ↗ |
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