Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Prueba de raíz unitaria de Phillips-Perron× | Prueba de raíz unitaria de Dickey-Fuller Aumentada (ADF)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1988 | 1979–1984 |
| Autor original≠ | Peter C. B. Phillips and Pierre Perron | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Tipo | Hypothesis test (unit root) | Hypothesis test (unit root) |
| Fuente seminal≠ | 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 ↗ |
| Alias | PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Relacionados | 5 | 5 |
| Resumen≠ | The Phillips-Perron (PP) test is a nonparametric unit root test for time series that corrects for serial correlation and heteroscedasticity in the error term without adding lagged differences. Introduced by Phillips and Perron (1988), it applies a kernel-based long-run variance estimator to adjust the Dickey-Fuller statistic, making it robust to a wide class of weakly dependent error processes. | 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. |
| ScholarGateConjunto de datos ↗ |
|
|