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| Prueba de raíz unitaria de Phillips-Perron× | Test de estacionariedad KPSS× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1988 | 1992 |
| Autor original≠ | Peter C. B. Phillips and Pierre Perron | Kwiatkowski, Phillips, Schmidt & Shin |
| Tipo≠ | Hypothesis test (unit root) | Stationarity test (reverse of unit-root tests) |
| Fuente seminal≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. 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 ↗ |
| Alias≠ | PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| Relacionados≠ | 5 | 4 |
| 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 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. |
| ScholarGateConjunto de datos ↗ |
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