方法对比
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| 面板 Zivot-Andrews 结构性断点单位根检验× | Hadri面板单位根检验 (Panel KPSS Test)× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1992 (panel extension: 2000s) | 2000 |
| 提出者≠ | Zivot & Andrews (1992); extended to panel settings by subsequent literature | Hadri (2000), extending Kwiatkowski, Phillips, Schmidt, and Shin (1992) |
| 类型≠ | Unit root test with endogenous structural break | Panel stationarity test |
| 开创性文献≠ | 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 ↗ | Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. Econometrics Journal, 3(2), 148-161. DOI ↗ |
| 别名 | panel ZA test, panel structural break unit root test, Zivot-Andrews panel unit root test, panel endogenous break unit root test | KPSS panel stationarity test, panel stationarity test, Hadri LM test, panel KPSS |
| 相关 | 6 | 6 |
| 摘要≠ | The Panel Zivot-Andrews test extends the single-series Zivot-Andrews (1992) structural break unit root test to panel data, allowing each cross-sectional unit to have its own endogenously determined break date. It tests the null of a unit root against the alternative of stationarity with a one-time structural break, accounting for regime shifts that bias standard panel unit root tests toward false non-rejection. | The Panel KPSS test, introduced by Hadri (2000), tests the null hypothesis that all series in a panel are stationary against the alternative that some or all contain a unit root. It extends the univariate KPSS framework to panel data by aggregating individual LM statistics, providing higher power than unit-root tests when most series are in fact stationary. |
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