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| Ikke-lineær PP enhedrodstest× | Augmented Dickey-Fuller (ADF) Enhedsrodstest× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1988 (base); 2000s (nonlinear extensions) | 1979–1984 |
| Ophavsperson≠ | Phillips & Perron (1988); nonlinear extensions by Kapetanios, Shin & Snell (2003) and related authors | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Type≠ | Unit root test with nonlinear adjustment | Hypothesis test (unit root) |
| Oprindelig kilde≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. DOI ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| Aliasser | Nonlinear PP test, Nonlinear Phillips-Perron test, PP unit root test with nonlinear adjustment, nonlinear PP | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Relaterede≠ | 6 | 5 |
| Resumé≠ | The Nonlinear Phillips-Perron unit root test extends the classic PP test by allowing the adjustment toward equilibrium to follow a nonlinear path — such as a smooth transition or threshold mechanism — rather than assuming a constant linear speed of adjustment. This makes it more powerful when the true data-generating process involves regime-dependent or asymmetric mean-reversion dynamics. | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. |
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