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| Test de Raíz Unitaria Robusto de Dickey-Fuller Aumentado× | Test de Raíz Unitaria de Phillips-Perron× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1996-2001 | 1988 |
| Autor original≠ | Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996) | Peter C. B. Phillips and Pierre Perron |
| Tipus≠ | Unit root / stationarity test | Hypothesis test (unit root) |
| Font seminal≠ | Ng, S., and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554. DOI ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Àlies | robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF | PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test |
| Relacionats≠ | 6 | 5 |
| Resum≠ | The Robust ADF unit root test extends the classical ADF procedure with improvements that correct for size distortions arising from heteroscedastic or serially correlated errors, and from poor lag-length selection. Drawing on GLS detrending (Elliott, Rothenberg, and Stock 1996) and modified information criteria (Ng and Perron 2001), it delivers reliable size and power in the presence of non-standard error processes common in macroeconomic and financial time series. | The Phillips-Perron (PP) test is a nonparametric unit root test for time series that corrects for serial correlation and heteroscedasticity in the error term without adding lagged differences. Introduced by Phillips and Perron (1988), it applies a kernel-based long-run variance estimator to adjust the Dickey-Fuller statistic, making it robust to a wide class of weakly dependent error processes. |
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