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| Mittelineaarne KPSS-test× | Augmented Dickey-Fulleri (ADF) ühikujuurtuvustest× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2006 | 1979 |
| Looja≠ | Becker, Enders & Lee | David A. Dickey & Wayne A. Fuller |
| Tüüp≠ | Stationarity test (null: stationary) | Unit-root test for stationarity |
| Algallikas≠ | Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. 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 | KPSS nonlinearity test, nonlinear stationarity test, flexible Fourier KPSS, NL-KPSS | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi |
| Seotud≠ | 3 | 4 |
| Kokkuvõte≠ | The nonlinear KPSS test extends the classic Kwiatkowski-Phillips-Schmidt-Shin stationarity test by modelling unknown smooth structural breaks in the deterministic trend using a Fourier approximation. Under the null hypothesis the series is stationary around a flexible nonlinear trend, guarding against spurious unit-root findings caused by regime shifts or gradual transitions. | 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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