Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| DF-GLS Test× | ERS Point-Optimal Unit-Root Test× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Hypothesis test | Hypothesis test |
| Rok vzniku | 1996 | 1996 |
| Tvůrce | Elliott, Rothenberg & Stock | Elliott, Rothenberg & Stock |
| Typ≠ | One-sided t-test on GLS-detrended series | One-sided parametric unit-root test |
| Původní zdroj | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836. DOI ↗ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836. DOI ↗ |
| Další názvy | Elliott-Rothenberg-Stock test, ERS unit-root test, GLS-detrended Dickey-Fuller test, DF-GLS birim kök testi | ERS P-test, Point-Optimal Unit-Root Test, ERS PT statistic, ERS Nokta-Optimal Birim Kök Testi |
| Příbuzné | 3 | 3 |
| Shrnutí≠ | 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 Elliott-Rothenberg-Stock (ERS) Point-Optimal test, introduced in their landmark 1996 Econometrica paper, is a near-efficient parametric procedure for testing whether a univariate time series contains a unit root. By first applying GLS detrending at a carefully chosen local-to-unity value and then computing a likelihood-ratio-type statistic, it achieves power close to the Gaussian power envelope—making it one of the most powerful unit-root tests available to applied econometricians. |
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