השוואת שיטות

	מבחן שורש יחידה בייסיאני של פיליפס-פרון	מבחן שורש היחידה של פיליפס-פרון
תחום	אקונומטריקה	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	1988 / early 1990s	1988
הוגה השיטה	Phillips & Perron (classical test, 1988); Bayesian framework: Sims & Uhlig (1991)	Peter C. B. Phillips and Pierre Perron
סוג	Unit root test (Bayesian)	Hypothesis test (unit root)
מקור מכונן	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
כינויים	Bayesian PP test, Bayesian Phillips-Perron test, Bayesian nonparametric unit root test, Bayes PP unit root	PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test
קשורות	5	5
תקציר	The Bayesian Phillips-Perron unit root test combines the nonparametric long-run variance correction of the classical Phillips-Perron test with a Bayesian inferential framework. Instead of a p-value, it yields a posterior probability or Bayes factor quantifying evidence for or against a unit root, allowing researchers to incorporate prior economic knowledge and obtain probability statements directly about the persistence of a time series.	The Phillips-Perron (PP) test is a nonparametric unit root test for time series that corrects for serial correlation and heteroscedasticity in the error term without adding lagged differences. Introduced by Phillips and Perron (1988), it applies a kernel-based long-run variance estimator to adjust the Dickey-Fuller statistic, making it robust to a wide class of weakly dependent error processes.