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| Augmented Dickey-Fuller (ADF) Einheitswurzeltest× | KPSS-Stationaritätstest× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 1979–1984 | 1992 |
| Urheber≠ | Said & Dickey (1984); building on Dickey & Fuller (1979) | Kwiatkowski, Phillips, Schmidt & Shin |
| Typ≠ | Hypothesis test (unit root) | Stationarity test (reverse of unit-root tests) |
| Wegweisende Quelle≠ | 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 ↗ | Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178. DOI ↗ |
| Aliasnamen≠ | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| Verwandt≠ | 5 | 4 |
| Zusammenfassung≠ | 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. | The KPSS test, introduced by Kwiatkowski, Phillips, Schmidt and Shin in 1992, tests the null hypothesis that a series is stationary against the alternative that it contains a unit root — the reverse of the ADF and Phillips-Perron tests. By flipping the burden of proof, it is designed to be used alongside unit-root tests so that the two can confirm one another and expose ambiguous, borderline cases. |
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