Regression modelEconometrics / time series

Time-Varying Parameter Zivot-Andrews Unit Root Test

The time-varying parameter Zivot-Andrews test extends the classic Zivot-Andrews (1992) structural break unit root test by allowing the regression coefficients to evolve over time. Rather than assuming fixed parameters across the full sample, this approach lets the autoregressive dynamics and break timing adapt through a state-space or rolling framework, improving robustness when economic relationships shift gradually.

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Sources

  1. 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: 10.1080/07350015.1992.10509904
  2. Cooley, T. F., & Prescott, E. C. (1976). Estimation in the Presence of Stochastic Parameter Variation. Econometrica, 44(1), 167–184. DOI: 10.2307/1911389

Related methods

ScholarGateTime-varying parameter Zivot-Andrews test (Time-Varying Parameter Zivot-Andrews Structural Break Unit Root Test). Retrieved 2026-06-04 from https://scholargate.app/tr/econometrics/time-varying-parameter-zivot-andrews-test