Methoden vergleichen

	KPSS-Stationaritätstest	Augmented-Dickey-Fuller (ADF)-Test auf Einheitswurzel	Kointegrationstest (Johansen / Engle-Granger)
Fachgebiet	Ökonometrie	Ökonometrie	Ökonometrie
Familie	Regression model	Regression model	Regression model
Entstehungsjahr	1992	1979	1988
Urheber	Kwiatkowski, Phillips, Schmidt & Shin	David A. Dickey & Wayne A. Fuller	Engle & Granger (1987); Johansen (1988)
Typ	Stationarity test (reverse of unit-root tests)	Unit-root test for stationarity	Time-series cointegration test
Wegweisende Quelle	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.	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.	Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
Aliasnamen	Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi	ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi	Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger)
Verwandt	4	4	5
Zusammenfassung	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.	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 cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988).