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| Lee-Strazicich LM单位根检验（含两个结构性断点）× | 增广迪基-福勒（ADF）单位根检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族≠ | Hypothesis test | Regression model |
| 起源年份≠ | 2003 | 1979 |
| 提出者≠ | Junsoo Lee & Mark Strazicich | David A. Dickey & Wayne A. Fuller |
| 类型≠ | Lagrange Multiplier unit-root test with two endogenous structural breaks | Unit-root test for stationarity |
| 开创性文献≠ | 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 ↗ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ |
| 别名 | LS Unit Root Test, Minimum LM Unit Root Test, Lee-Strazicich Two-Break Test, Lee-Strazicich LM Testi | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi |
| 相关≠ | 3 | 4 |
| 摘要≠ | 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. | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. |
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