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| フィリップス・ペロン単位根検定× | 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≠ | 1988 | 1979–1984 |
| 提唱者≠ | Peter C. B. Phillips and Pierre Perron | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| 種類 | Hypothesis test (unit root) | Hypothesis test (unit root) |
| 原典≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| 別名 | PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| 関連 | 5 | 5 |
| 概要≠ | 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. | 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. |
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