手法を比較

	非線形KPSS検定	拡張ディッキー・フラー（ADF）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	2006	1979
提唱者	Becker, Enders & Lee	David A. Dickey & Wayne A. Fuller
種類	Stationarity test (null: stationary)	Unit-root test for stationarity
原典	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.	Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431.
別名	KPSS nonlinearity test, nonlinear stationarity test, flexible Fourier KPSS, NL-KPSS	ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi
関連	3	4
概要	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.	The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero.