Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Robustne Dickey-Fuller'i ühikujuuretest× | Augmented Dickey-Fuller (ADF) Unit Root Test× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1996-2001 | 1979–1984 |
| Looja≠ | Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996) | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Tüüp≠ | Unit root / stationarity test | Hypothesis test (unit root) |
| Algallikas≠ | Ng, S., and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554. 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 | robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Seotud≠ | 6 | 5 |
| Kokkuvõte≠ | The Robust ADF unit root test extends the classical ADF procedure with improvements that correct for size distortions arising from heteroscedastic or serially correlated errors, and from poor lag-length selection. Drawing on GLS detrending (Elliott, Rothenberg, and Stock 1996) and modified information criteria (Ng and Perron 2001), it delivers reliable size and power in the presence of non-standard error processes common in macroeconomic and financial time series. | 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. |
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