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| Zivot-Andrews strukturbrottest× | ARIMA-modell (Autoregressiv Integrerad Glidande Medelvärdesmodell)× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1992 | 1970 |
| Upphovsperson≠ | Eric Zivot and Donald W. K. Andrews | George Box and Gwilym Jenkins |
| Typ≠ | Unit root test with endogenous structural break | Time series forecasting model |
| 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 ↗ | Box, G. E. P., & Jenkins, G. M. (1970). Time Series Analysis: Forecasting and Control. Holden-Day. link ↗ |
| Alias | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test | ARIMA, Box-Jenkins model, integrated ARMA, ARIMA(p,d,q) |
| Närliggande | 6 | 6 |
| Sammanfattning≠ | 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. | The ARIMA(p,d,q) model is the standard workhorse for univariate time series forecasting. It combines autoregressive terms (past values), differencing to induce stationarity, and moving average terms (past shocks) into a unified linear framework. Developed by Box and Jenkins (1970), it remains one of the most widely applied models in econometrics and applied statistics. |
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