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| ERS-i punktoptimaalne ühetüve test× | Augmented Dickey-Fulleri (ADF) ühikujuurtuvustest× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond≠ | Hypothesis test | Regression model |
| Tekkeaasta≠ | 1996 | 1979 |
| Looja≠ | Elliott, Rothenberg & Stock | David A. Dickey & Wayne A. Fuller |
| Tüüp≠ | One-sided parametric unit-root test | Unit-root test for stationarity |
| Algallikas≠ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836. DOI ↗ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ |
| Rööpnimetused | ERS P-test, Point-Optimal Unit-Root Test, ERS PT statistic, ERS Nokta-Optimal Birim Kök Testi | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi |
| Seotud≠ | 3 | 4 |
| Kokkuvõte≠ | The Elliott-Rothenberg-Stock (ERS) Point-Optimal test, introduced in their landmark 1996 Econometrica paper, is a near-efficient parametric procedure for testing whether a univariate time series contains a unit root. By first applying GLS detrending at a carefully chosen local-to-unity value and then computing a likelihood-ratio-type statistic, it achieves power close to the Gaussian power envelope—making it one of the most powerful unit-root tests available to applied econometricians. | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. |
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