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| Zivot-Andrews test för strukturella brott och enhetsrötter× | Zivot-Andrews strukturbrottest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår | 1992 | 1992 |
| Upphovsperson | Eric Zivot and Donald W. K. Andrews | Eric Zivot and Donald W. K. Andrews |
| Typ | Unit root test with endogenous structural break | Unit root test with endogenous structural break |
| Ursprungskälla | 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 ↗ | 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 | Zivot-Andrews test, ZA unit root test, endogenous structural break unit root test, ZA breakpoint test | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Närliggande | 6 | 6 |
| Sammanfattning≠ | The Zivot-Andrews test is an endogenous structural break unit root test that determines the break point from the data rather than imposing it externally. It tests for a unit root against the alternative of stationarity around a single structural break — in the mean, the trend, or both — choosing the break date that provides the strongest evidence against the null. | 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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