Comparer des méthodes

	Test de racine unitaire ADF non linéaire (Test KSS)	Test de racine unitaire Augmented Dickey-Fuller (ADF)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2003	1979–1984
Auteur d'origine	Kapetanios, Shin, and Snell	Said & Dickey (1984); building on Dickey & Fuller (1979)
Type	Nonlinear unit root test	Hypothesis test (unit root)
Source fondatrice	Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379.	Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607.
Alias	KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test	ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test
Apparentées	6	5
Résumé	The Nonlinear ADF unit root test, most prominently operationalized by Kapetanios, Shin, and Snell (2003), extends the classical Augmented Dickey-Fuller test to detect mean reversion that occurs via an Exponential Smooth Transition Autoregressive (ESTAR) process. It tests the null of a unit root against a nonlinear stationary alternative, capturing adjustment dynamics that the standard linear ADF test misses.	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.