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| Augmented Dickey-Fuller (ADF) Enhedsrødtest× | Phillips-Perron (PP) enhedstest× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1979 | 1988 |
| Ophavsperson≠ | David A. Dickey & Wayne A. Fuller | Peter C. B. Phillips & Pierre Perron |
| Type | Unit-root test for stationarity | Unit-root test for stationarity |
| Oprindelig kilde≠ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Aliasser≠ | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi | PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi |
| Relaterede | 4 | 4 |
| Resumé≠ | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. | 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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