Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тест на одиничний корінь ADF зі структурним розривом× | Структурно-переломна причинність за Грейнджером× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1989-1992 | 1995-2010 |
| Автор методу≠ | Perron (1989); Zivot and Andrews (1992) | Granger (1969) causality framework extended by Toda & Yamamoto (1995) and Balcilar et al. (2010) |
| Тип≠ | Unit root test with structural break | Hypothesis test / time-series model |
| Основоположне джерело≠ | Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. DOI ↗ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. DOI ↗ |
| Інші назви | ADF with structural break, Perron unit root test, break-augmented ADF, unit root test with structural change | break-robust Granger causality, Granger causality under regime change, time-varying Granger causality, structural change Granger test |
| Пов'язані≠ | 6 | 3 |
| Підсумок≠ | The structural break ADF unit root test extends the standard Augmented Dickey-Fuller test to allow for one or more discrete shifts in the level or trend of a time series. Because ignoring a structural break inflates the apparent persistence of a series, this test prevents false acceptance of the unit root null when the series is actually stationary around a shifting mean or trend. | Structural break Granger causality extends the classic Granger causality framework to accommodate regime shifts and parameter instability in time series. By detecting break points and testing causality within sub-samples or via rolling/recursive windows, it reveals whether a predictive relationship between variables switches on, switches off, or changes direction over time. |
| ScholarGateНабір даних ↗ |
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