مقایسهٔ روش‌ها

	Robust ADF Unit Root Test	آزمون ریشه واحد فیلیپس-پرون
حوزه	اقتصادسنجی	اقتصادسنجی
خانواده	Regression model	Regression model
سال پیدایش	1996-2001	1988
پدیدآور	Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996)	Peter C. B. Phillips and Pierre Perron
نوع	Unit root / stationarity test	Hypothesis test (unit root)
منبع بنیادین	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.	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
نام‌های دیگر	robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF	PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test
مرتبط	6	5
خلاصه	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 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.