手法を比較

	フィリップス・ペロン単位根検定	Granger因果性検定
分野	計量経済学	計量経済学
系統	Regression model	Regression model
提唱年	1988	1969
提唱者	Peter C. B. Phillips and Pierre Perron	Clive W. J. Granger
種類	Hypothesis test (unit root)	Causality test (F-test on VAR)
原典	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.	Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424–438.
別名	PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test	Granger test, GC test, predictive causality test, Granger non-causality 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 Granger causality test is a statistical hypothesis test that determines whether past values of one time series help predict future values of another, beyond what that series' own past already explains. Introduced by Clive Granger in 1969, it is the standard approach for assessing predictive causality in VAR-based time-series analysis.