手法を比較

	拡張ディッキー・フラー（ADF）単位根検定	フィリップス・ペロン単位根検定
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1979–1984	1988
提唱者	Said & Dickey (1984); building on Dickey & Fuller (1979)	Peter C. B. Phillips and Pierre Perron
種類	Hypothesis test (unit root)	Hypothesis test (unit root)
原典	Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607.	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
別名	ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test	PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test
関連	5	5
概要	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.	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.