手法を比較

	非線形ADF単位根検定（KSS検定）	非線形ARDL (NARDL) 限界検定
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2003	2014
提唱者	Kapetanios, Shin, and Snell	Shin, Yu, and Greenwood-Nimmo
種類	Nonlinear unit root test	Asymmetric cointegration test
原典	Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379.	Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2014). Modelling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In W. C. Horrace & R. C. Sickles (Eds.), Festschrift in Honor of Peter Schmidt (pp. 281-314). Springer.
別名	KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test	NARDL, asymmetric ARDL, nonlinear bounds testing approach, NARDL bounds testing
関連	6	1
概要	The Nonlinear ADF unit root test, most prominently operationalized by Kapetanios, Shin, and Snell (2003), extends the classical Augmented Dickey-Fuller test to detect mean reversion that occurs via an Exponential Smooth Transition Autoregressive (ESTAR) process. It tests the null of a unit root against a nonlinear stationary alternative, capturing adjustment dynamics that the standard linear ADF test misses.	The Nonlinear ARDL bounds test, developed by Shin, Yu, and Greenwood-Nimmo (2014), extends the linear ARDL framework to detect asymmetric long-run relationships in time series. By decomposing a regressor into positive and negative partial sums, NARDL simultaneously tests for cointegration and estimates separate long-run effects for increases and decreases — without requiring all variables to be integrated of the same order.