方法对比
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| 结构性断点Toda-Yamamoto因果检验× | Zivot-Andrews 结构性断点检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1995 (base); structural break extensions widely adopted 2000s–2010s | 1992 |
| 提出者≠ | Toda & Yamamoto (1995); structural break extensions by Zivot & Andrews (1992) and subsequent applied literature | Eric Zivot and Donald W. K. Andrews |
| 类型≠ | Causality test | Unit root test with endogenous structural break |
| 开创性文献≠ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. 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 ↗ |
| 别名 | SB-TY causality, structural break modified Wald test causality, Fourier Toda-Yamamoto causality, causality with regime shifts | ZA test, Zivot-Andrews unit root test, endogenous structural break unit root test, ZA structural break test |
| 相关 | 6 | 6 |
| 摘要≠ | The structural break Toda-Yamamoto causality test extends the standard Toda-Yamamoto modified Wald (MWALD) procedure to accommodate one or more structural breaks in the time series. By identifying break dates first and then including dummy variables in the augmented VAR, the test maintains its valid asymptotic chi-squared distribution regardless of the integration or cointegration order of the variables, even in the presence of regime shifts. | 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. |
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