Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тест Йохансена на структурний розрив коінтеграції× | Тест Зівота-Ендрюса на структурний злам× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2000–2001 | 1992 |
| Автор методу≠ | Johansen (1988); structural-break extensions by Saikkonen & Lütkepohl (2000) and Lütkepohl, Müller & Saikkonen (2001) | Eric Zivot and Donald W. K. Andrews |
| Тип≠ | Cointegration test / VECM estimation | Unit root test with endogenous structural break |
| Основоположне джерело≠ | Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2–3), 231–254. 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 ↗ |
| Інші назви | Johansen cointegration with breaks, break-robust Johansen test, cointegration test with regime shifts, structural change Johansen VECM | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| Пов'язані≠ | 5 | 6 |
| Підсумок≠ | The structural break Johansen cointegration test extends the standard maximum-likelihood Johansen procedure to settings where the multivariate time series exhibits level shifts or trend breaks. By incorporating dummy variables or shift regressors into the VECM, the test determines the cointegrating rank without confounding genuine long-run relationships with regime changes. | 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. |
| ScholarGateНабір даних ↗ |
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