השוואת שיטות

	מבחן DF-GLS: מבחן שורש יחידה של דיקי-פולר מנוטרל באמצעות GLS	מבחן שורש יחידה פיליפס-פררון (PP)
תחום	אקונומטריקה	אקונומטריקה
משפחה	Hypothesis test	Regression model
שנת המקור	1996	1988
הוגה השיטה	Elliott, Rothenberg & Stock	Peter C. B. Phillips & Pierre Perron
סוג	One-sided t-test on GLS-detrended series	Unit-root test for stationarity
מקור מכונן	Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836.	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
כינויים	Elliott-Rothenberg-Stock test, ERS unit-root test, GLS-detrended Dickey-Fuller test, DF-GLS birim kök testi	PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi
קשורות	3	4
תקציר	The DF-GLS test, introduced by Elliott, Rothenberg, and Stock (1996), is a modified augmented Dickey-Fuller procedure that applies generalized least squares (GLS) detrending before the standard unit-root regression. By removing deterministic components under a local alternative rather than the null hypothesis, the test achieves near-optimal power for detecting stationarity in time series, making it the preferred unit-root test in applied econometrics when a trend or intercept is present.	The Phillips-Perron test, proposed by Peter Phillips and Pierre Perron in 1988, tests for a unit root in a time series, like the Augmented Dickey-Fuller test, but corrects for autocorrelation and heteroskedasticity in the errors non-parametrically rather than by adding lagged differences. It runs a simple Dickey-Fuller regression and then adjusts the test statistic using a long-run variance estimate, so the practitioner need not choose a lag length for the regression itself.