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| Test di radice unitaria PP con parametri tempo-varianti× | Test di Stazionarietà KPSS× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 1988-1999 | 1992 |
| Ideatore≠ | Extension of Phillips & Perron (1988); TVP framework attributed to Hall & Luginbuhl (1999) and related literature | Kwiatkowski, Phillips, Schmidt & Shin |
| Tipo≠ | Unit root test with time-varying parameters | Stationarity test (reverse of unit-root tests) |
| Fonte seminale≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. DOI ↗ | 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. DOI ↗ |
| 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 |
| Correlati≠ | 3 | 4 |
| Sintesi≠ | 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. |
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