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| Test KPSS avec rupture structurelle× | Test de racine unitaire Augmented Dickey-Fuller (ADF)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2002-2005 | 1979–1984 |
| Auteur d'origine≠ | Kurozumi (2002); Carrion-i-Silvestre, Del Barrio & Lopez-Bazo (2005) | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Type≠ | Stationarity test with structural breaks | Hypothesis test (unit root) |
| Source fondatrice≠ | Carrion-i-Silvestre, J. L., Del Barrio, T., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8(2), 159-175. DOI ↗ | 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 ↗ |
| Alias | KPSS test with breaks, structural break stationarity test, KPSS break test, SB-KPSS | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Apparentées≠ | 6 | 5 |
| Résumé≠ | The structural break KPSS test extends the standard Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test to allow for one or more known or unknown structural breaks in the level or trend of a time series. Under the null hypothesis the series is stationary around a broken deterministic component, enabling researchers to distinguish genuine unit-root behaviour from apparent non-stationarity caused by regime shifts. | 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. |
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