Comparer des méthodes

	Test de racine unitaire Robuste de Phillips-Perron (PP)	Test de racine unitaire Augmented Dickey-Fuller (ADF)
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1988 (base); 2000s–2010s (robust extensions)	1979–1984
Auteur d'origine	Phillips & Perron (1988); robustification by Cavaliere & Taylor (2008) and related authors	Said & Dickey (1984); building on Dickey & Fuller (1979)
Type	Unit root / stationarity test	Hypothesis test (unit root)
Source fondatrice	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.	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	robust Phillips-Perron test, heteroskedasticity-robust PP test, nonparametric robust unit root test, robust PP	ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test
Apparentées	6	5
Résumé	The Robust Phillips-Perron unit root test extends the classical PP test by applying corrections — such as heteroskedasticity-consistent covariance estimation or wild-bootstrap critical values — that maintain valid inference when the error variance of a time series is non-constant or exhibits unconditional heteroskedasticity, conditions under which the standard PP test is severely size-distorted.	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.