Comparer des méthodes

	Test de racine unitaire ADF non linéaire (Test KSS)	Modèle Vectoriel à Correction d'Erreur Non Linéaire (Nonlinear VECM)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	2003	1989–1998
Auteur d'origine	Kapetanios, Shin, and Snell	Granger & Lee (1989); Enders & Granger (1998)
Type	Nonlinear unit root test	Nonlinear time-series model
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.	Enders, W., & Granger, C. W. J. (1998). Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates. Journal of Business & Economic Statistics, 16(3), 304–311.
Alias	KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test	nonlinear VECM, NVECM, threshold VECM, asymmetric VECM
Apparentées	6	2
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 Nonlinear VECM extends the standard linear VECM by allowing the speed of adjustment toward long-run equilibrium to differ depending on the sign, magnitude, or regime of deviations from that equilibrium. It captures asymmetric or threshold-driven dynamics in cointegrated time-series systems that a standard VECM would miss.