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| DF-GLS Test× | Prova d'arrel unitari de Phillips-Perron (PP)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família≠ | Hypothesis test | Regression model |
| Any d'origen≠ | 1996 | 1988 |
| Autor original≠ | Elliott, Rothenberg & Stock | Peter C. B. Phillips & Pierre Perron |
| Tipus≠ | One-sided t-test on GLS-detrended series | Unit-root test for stationarity |
| Font seminal≠ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836. DOI ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Àlies≠ | Elliott-Rothenberg-Stock test, ERS unit-root test, GLS-detrended Dickey-Fuller test, DF-GLS birim kök testi | PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi |
| Relacionats≠ | 3 | 4 |
| Resum≠ | The DF-GLS test, introduced by Elliott, Rothenberg, and Stock (1996), is a modified augmented Dickey-Fuller procedure that applies generalized least squares (GLS) detrending before the standard unit-root regression. By removing deterministic components under a local alternative rather than the null hypothesis, the test achieves near-optimal power for detecting stationarity in time series, making it the preferred unit-root test in applied econometrics when a trend or intercept is present. | The Phillips-Perron test, proposed by Peter Phillips and Pierre Perron in 1988, tests for a unit root in a time series, like the Augmented Dickey-Fuller test, but corrects for autocorrelation and heteroskedasticity in the errors non-parametrically rather than by adding lagged differences. It runs a simple Dickey-Fuller regression and then adjusts the test statistic using a long-run variance estimate, so the practitioner need not choose a lag length for the regression itself. |
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