手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| ロバスト拡張ディッキー–フラー単位根検定× | 非線形ADF単位根検定（KSS検定）× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1996-2001 | 2003 |
| 提唱者≠ | Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996) | Kapetanios, Shin, and Snell |
| 種類≠ | Unit root / stationarity test | Nonlinear unit root test |
| 原典≠ | Ng, S., and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554. DOI ↗ | Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379. DOI ↗ |
| 別名 | robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF | KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test |
| 関連 | 6 | 6 |
| 概要≠ | The Robust ADF unit root test extends the classical ADF procedure with improvements that correct for size distortions arising from heteroscedastic or serially correlated errors, and from poor lag-length selection. Drawing on GLS detrending (Elliott, Rothenberg, and Stock 1996) and modified information criteria (Ng and Perron 2001), it delivers reliable size and power in the presence of non-standard error processes common in macroeconomic and financial time series. | 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. |
| ScholarGateデータセット ↗ |
|
|