Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Test du Point-Optimal d'ERS× | Test de stationnarité KPSS× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille≠ | Hypothesis test | Regression model |
| Année d'origine≠ | 1996 | 1992 |
| Auteur d'origine≠ | Elliott, Rothenberg & Stock | Kwiatkowski, Phillips, Schmidt & Shin |
| Type≠ | One-sided parametric unit-root test | Stationarity test (reverse of unit-root tests) |
| Source fondatrice≠ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836. DOI ↗ | Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178. DOI ↗ |
| Alias≠ | ERS P-test, Point-Optimal Unit-Root Test, ERS PT statistic, ERS Nokta-Optimal Birim Kök Testi | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| Apparentées≠ | 3 | 4 |
| Résumé≠ | The Elliott-Rothenberg-Stock (ERS) Point-Optimal test, introduced in their landmark 1996 Econometrica paper, is a near-efficient parametric procedure for testing whether a univariate time series contains a unit root. By first applying GLS detrending at a carefully chosen local-to-unity value and then computing a likelihood-ratio-type statistic, it achieves power close to the Gaussian power envelope—making it one of the most powerful unit-root tests available to applied econometricians. | The KPSS test, introduced by Kwiatkowski, Phillips, Schmidt and Shin in 1992, tests the null hypothesis that a series is stationary against the alternative that it contains a unit root — the reverse of the ADF and Phillips-Perron tests. By flipping the burden of proof, it is designed to be used alongside unit-root tests so that the two can confirm one another and expose ambiguous, borderline cases. |
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