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| KPSS 定常性検定× | 共和分検定（ヨハンセン／エングル・グレンジャー法）× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1992 | 1988 |
| 提唱者≠ | Kwiatkowski, Phillips, Schmidt & Shin | Engle & Granger (1987); Johansen (1988) |
| 種類≠ | Stationarity test (reverse of unit-root tests) | Time-series cointegration test |
| 原典≠ | 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 ↗ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ |
| 別名≠ | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) |
| 関連≠ | 4 | 5 |
| 概要≠ | 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. | The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988). |
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