Construct · 1 fields · 1 citations

Zivot-Andrews test: a standalone construct

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Econometrics

a unit root test that allows one structural break at a date chosen from the data, so a break is not mistaken for a unit root.

In econometrics, Zivot-Andrews test refers to a unit root test that allows one structural break at a date chosen from the data, so a break is not mistaken for a unit root. This meaning comes from Zivot (1992) in Journal of Business & Economic Statistics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

break2 fields · 4 citationsjingle · one word, two constructs business1 fields · 1 citationsanchor · a standalone construct root3 fields · 5 citationsjingle · one word, three constructs

References

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. https://doi.org/10.1080/07350015.1992.10509904

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