Comparer des méthodes

	Test de racine unitaire de Phillips-Perron à paramètres variant dans le temps	Test de stationnarité KPSS
Domaine	Économétrie	Économétrie
Famille	Regression model	Regression model
Année d'origine	1988-1999	1992
Auteur d'origine	Extension of Phillips & Perron (1988); TVP framework attributed to Hall & Luginbuhl (1999) and related literature	Kwiatkowski, Phillips, Schmidt & Shin
Type	Unit root test with time-varying parameters	Stationarity test (reverse of unit-root tests)
Source fondatrice	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.	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.
Alias	TVP-PP unit root test, time-varying PP test, Phillips-Perron test with time-varying parameters, TVP unit root test	Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi
Apparentées	3	4
Résumé	The time-varying parameter PP unit root test extends the classical Phillips-Perron test by allowing the autoregressive coefficient to change over time. It detects stochastic non-stationarity in series whose persistence may shift across regimes or periods, offering more reliable inference when structural change is suspected in the data-generating process.	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.