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| 结构性断点 Zivot-Andrews 单位根检验× | 结构性断点单位根检验 (Structural Break ADF Unit Root 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 | 1989-1992 |
| 提出者≠ | Eric Zivot and Donald W. K. Andrews | Perron (1989); Zivot and Andrews (1992) |
| 类型≠ | Unit root test with endogenous structural break | Unit root test with structural break |
| 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 ↗ | Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica, 57(6), 1361-1401. DOI ↗ |
| 别名 | Zivot-Andrews test, ZA unit root test, endogenous structural break unit root test, ZA breakpoint test | ADF with structural break, Perron unit root test, break-augmented ADF, unit root test with structural change |
| 相关 | 6 | 6 |
| 摘要≠ | The Zivot-Andrews test is an endogenous structural break unit root test that determines the break point from the data rather than imposing it externally. It tests for a unit root against the alternative of stationarity around a single structural break — in the mean, the trend, or both — choosing the break date that provides the strongest evidence against the null. | The structural break ADF unit root test extends the standard Augmented Dickey-Fuller test to allow for one or more discrete shifts in the level or trend of a time series. Because ignoring a structural break inflates the apparent persistence of a series, this test prevents false acceptance of the unit root null when the series is actually stationary around a shifting mean or trend. |
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