Comparer des méthodes

	Test de racine unitaire augmenté de Dickey-Fuller (ADF)	Test de racine unitaire de Phillips-Perron (PP)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1979	1988
Auteur d'origine	David A. Dickey & Wayne A. Fuller	Peter C. B. Phillips & Pierre Perron
Type	Unit-root test for stationarity	Unit-root test for stationarity
Source fondatrice	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.	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
Alias	ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi	PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi
Apparentées	4	4
Résumé	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.	The Phillips-Perron test, proposed by Peter Phillips and Pierre Perron in 1988, tests for a unit root in a time series, like the Augmented Dickey-Fuller test, but corrects for autocorrelation and heteroskedasticity in the errors non-parametrically rather than by adding lagged differences. It runs a simple Dickey-Fuller regression and then adjusts the test statistic using a long-run variance estimate, so the practitioner need not choose a lag length for the regression itself.