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Nonlinear PP unit root test/Evidence
Method evidence record

Nonlinear PP unit root test

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.

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Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Nonlinear Phillips-Perron Unit Root Test
Taxonomic method record · regression-model / econometrics
  • Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. · DOI 10.1093/biomet/75.2.335
  • Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. · DOI 10.1016/S0304-4076(02)00202-6
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Taxonomic bucketAugmented Dickey-Fuller unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketNonlinear ADF Unit Root Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketNonlinear ARDLmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketNonlinear KPSS Testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketPhillips-Perron unit root testmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketZivot-Andrews Structural Break Testmachine-suggested · Relational suggestion, not evidence.

Evidence status

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Sources

2 recorded citations, copied from the method source record.

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