Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Test de racine unitaire Augmented Dickey-Fuller (ADF)× | Test de racine unitaire de Phillips-Perron× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1979–1984 | 1988 |
| Auteur d'origine≠ | Said & Dickey (1984); building on Dickey & Fuller (1979) | Peter C. B. Phillips and Pierre Perron |
| Type | Hypothesis test (unit root) | Hypothesis test (unit root) |
| Source fondatrice≠ | 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 ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Alias | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test | PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test |
| Apparentées | 5 | 5 |
| Résumé≠ | 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. | 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. |
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