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| ERS-i punktoptimaalne ühetüve test× | Phillips-Perroni (PP) ühikjuure test× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond≠ | Hypothesis test | Regression model |
| Tekkeaasta≠ | 1996 | 1988 |
| Looja≠ | Elliott, Rothenberg & Stock | Peter C. B. Phillips & Pierre Perron |
| 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 ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Rööpnimetused≠ | ERS P-test, Point-Optimal Unit-Root Test, ERS PT statistic, ERS Nokta-Optimal Birim Kök Testi | PP test, Phillips-Perron unit root test, Phillips-Perron birim kök 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 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. |
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