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| Kiểm định nghiệm đơn vị Zivot-Andrews với một điểm đứt gãy cấu trúc× | Kiểm định nghiệm đơn vị Lee-Strazicich LM với hai điểm đứt gãy cấu trúc× | |
|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng |
| Họ | Hypothesis test | Hypothesis test |
| Năm ra đời≠ | 1992 | 2003 |
| Người khởi xướng≠ | Eric Zivot & Donald Andrews | Junsoo Lee & Mark Strazicich |
| Loại≠ | Sequential unit-root test with endogenous break-point selection | Lagrange Multiplier unit-root test with two endogenous structural breaks |
| Công trình gốc≠ | 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 ↗ | Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082–1089. DOI ↗ |
| Tên gọi khác | ZA Test, Zivot-Andrews Break Test, Endogenous Break Unit-Root Test, Zivot-Andrews Birim Kök Testi | LS Unit Root Test, Minimum LM Unit Root Test, Lee-Strazicich Two-Break Test, Lee-Strazicich LM Testi |
| Liên quan | 3 | 3 |
| Tóm tắt≠ | The Zivot-Andrews (ZA) test, introduced by Eric Zivot and Donald Andrews in 1992, is a sequential unit-root test that allows for a single structural break at an unknown date. It extends the augmented Dickey-Fuller framework by endogenously selecting the break point that provides the strongest evidence against the unit-root null hypothesis, making it particularly useful for macroeconomic and financial time series that may have been disrupted by events such as policy changes, financial crises, or supply shocks. | The Lee-Strazicich (2003) test is a Lagrange Multiplier-based unit-root test that allows for two endogenous structural breaks under both the null and alternative hypotheses. Proposed by Junsoo Lee and Mark C. Strazicich, it corrects a fundamental flaw in earlier break-based tests such as Zivot-Andrews, where structural breaks were permitted only under the alternative. By incorporating breaks under the null, the LS test avoids spurious rejections and provides size-correct inference in the presence of level or trend shifts. |
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