Comparar métodos

	Prueba de raíz unitaria de Phillips-Perron con parámetros variables en el tiempo	Test de raíz unitaria de Phillips-Perron (PP)
Campo	Econometría	Econometría
Familia	Regression model	Regression model
Año de origen	1988-1999	1988
Autor original	Extension of Phillips & Perron (1988); TVP framework attributed to Hall & Luginbuhl (1999) and related literature	Peter C. B. Phillips & Pierre Perron
Tipo	Unit root test with time-varying parameters	Unit-root test for stationarity
Fuente seminal	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
Alias	TVP-PP unit root test, time-varying PP test, Phillips-Perron test with time-varying parameters, TVP unit root test	PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi
Relacionados	3	4
Resumen	The time-varying parameter PP unit root test extends the classical Phillips-Perron test by allowing the autoregressive coefficient to change over time. It detects stochastic non-stationarity in series whose persistence may shift across regimes or periods, offering more reliable inference when structural change is suspected in the data-generating process.	The Phillips-Perron test, proposed by Peter Phillips and Pierre Perron in 1988, tests for a unit root in a time series, like the Augmented Dickey-Fuller test, but corrects for autocorrelation and heteroskedasticity in the errors non-parametrically rather than by adding lagged differences. It runs a simple Dickey-Fuller regression and then adjusts the test statistic using a long-run variance estimate, so the practitioner need not choose a lag length for the regression itself.