Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Mitte-lineaarne ADF-i juurtest (KSS-test)× | Augmented Dickey-Fuller (ADF) Unit Root Test× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2003 | 1979–1984 |
| Looja≠ | Kapetanios, Shin, and Snell | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Tüüp≠ | Nonlinear unit root test | Hypothesis test (unit root) |
| Algallikas≠ | Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. DOI ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| Rööpnimetused | KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Seotud≠ | 6 | 5 |
| Kokkuvõte≠ | The Nonlinear ADF unit root test, most prominently operationalized by Kapetanios, Shin, and Snell (2003), extends the classical Augmented Dickey-Fuller test to detect mean reversion that occurs via an Exponential Smooth Transition Autoregressive (ESTAR) process. It tests the null of a unit root against a nonlinear stationary alternative, capturing adjustment dynamics that the standard linear ADF test misses. | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. |
| ScholarGateAndmestik ↗ |
|
|