手法を比較

	非線形ADF単位根検定（KSS検定）	非線形KPSS検定
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	2003	2006
提唱者	Kapetanios, Shin, and Snell	Becker, Enders & Lee
種類	Nonlinear unit root test	Stationarity test (null: stationary)
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.	Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409.
別名	KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test	KPSS nonlinearity test, nonlinear stationarity test, flexible Fourier KPSS, NL-KPSS
関連	6	3
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 KPSS test extends the classic Kwiatkowski-Phillips-Schmidt-Shin stationarity test by modelling unknown smooth structural breaks in the deterministic trend using a Fourier approximation. Under the null hypothesis the series is stationary around a flexible nonlinear trend, guarding against spurious unit-root findings caused by regime shifts or gradual transitions.