Comparar métodos

	Test de raíz unitaria Robusto de Phillips-Perron (PP)	Prueba de Raíz Unitaria Robusta de Dickey-Fuller Aumentada
Campo	Econometría	Econometría
Familia	Regression model	Regression model
Año de origen	1988 (base); 2000s–2010s (robust extensions)	1996-2001
Autor original	Phillips & Perron (1988); robustification by Cavaliere & Taylor (2008) and related authors	Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996)
Tipo	Unit root / stationarity test	Unit root / stationarity test
Fuente seminal	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.	Ng, S., and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554.
Alias	robust Phillips-Perron test, heteroskedasticity-robust PP test, nonparametric robust unit root test, robust PP	robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF
Relacionados	6	6
Resumen	The Robust Phillips-Perron unit root test extends the classical PP test by applying corrections — such as heteroskedasticity-consistent covariance estimation or wild-bootstrap critical values — that maintain valid inference when the error variance of a time series is non-constant or exhibits unconditional heteroskedasticity, conditions under which the standard PP test is severely size-distorted.	The Robust ADF unit root test extends the classical ADF procedure with improvements that correct for size distortions arising from heteroscedastic or serially correlated errors, and from poor lag-length selection. Drawing on GLS detrending (Elliott, Rothenberg, and Stock 1996) and modified information criteria (Ng and Perron 2001), it delivers reliable size and power in the presence of non-standard error processes common in macroeconomic and financial time series.