手法を比較

	ロバスト拡張ディッキー–フラー単位根検定	パネル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	1996-2001	2002–2003
提唱者	Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996)	Im, Pesaran & Shin (2003); Levin, Lin & Chu (2002)
種類	Unit root / stationarity test	Unit root / stationarity 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.	Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74.
別名	robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF	Panel ADF test, IPS test, Im-Pesaran-Shin test, panel unit root 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 Panel Augmented Dickey-Fuller (Panel ADF) unit root test extends the classical ADF framework to panel datasets. By pooling information across cross-sectional units it achieves substantially higher power than single-series ADF tests, allowing researchers to determine whether time-series variables are stationary or integrated of order one before modelling long-run relationships.