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| Strukturellt brott OLS× | Zivot-Andrews strukturbrottest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1960–1998 | 1992 |
| Upphovsperson≠ | Chow (1960) for the breakpoint test; Bai & Perron (1998) for multiple break estimation | Eric Zivot and Donald W. K. Andrews |
| Typ≠ | Segmented linear regression | Unit root test with endogenous structural break |
| Ursprungskälla≠ | 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 ↗ |
| Alias | OLS with structural breaks, piecewise OLS, regime-switching OLS, breakpoint regression | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Närliggande | 6 | 6 |
| Sammanfattning≠ | Structural Break OLS extends ordinary least squares to allow regression coefficients to shift at one or more breakpoints in time or across regimes. Rather than forcing a single coefficient vector across the entire sample, the model partitions the data and estimates a separate OLS regression within each segment, making it appropriate when economic relationships are suspected to change due to policy shifts, crises, or other 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. |
| ScholarGateDatamängd ↗ |
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