Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Struktuurilise murde KPSS-test× | Phillips-Perroni juurtest× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2002-2005 | 1988 |
| Looja≠ | Kurozumi (2002); Carrion-i-Silvestre, Del Barrio & Lopez-Bazo (2005) | Peter C. B. Phillips and Pierre Perron |
| Tüüp≠ | Stationarity test with structural breaks | Hypothesis test (unit root) |
| Algallikas≠ | Carrion-i-Silvestre, J. L., Del Barrio, T., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8(2), 159-175. DOI ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Rööpnimetused | KPSS test with breaks, structural break stationarity test, KPSS break test, SB-KPSS | PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test |
| Seotud≠ | 6 | 5 |
| Kokkuvõte≠ | The structural break KPSS test extends the standard Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test to allow for one or more known or unknown structural breaks in the level or trend of a time series. Under the null hypothesis the series is stationary around a broken deterministic component, enabling researchers to distinguish genuine unit-root behaviour from apparent non-stationarity caused by regime shifts. | The Phillips-Perron (PP) test is a nonparametric unit root test for time series that corrects for serial correlation and heteroscedasticity in the error term without adding lagged differences. Introduced by Phillips and Perron (1988), it applies a kernel-based long-run variance estimator to adjust the Dickey-Fuller statistic, making it robust to a wide class of weakly dependent error processes. |
| ScholarGateAndmestik ↗ |
|
|