手法を比較

	構造的ブレーク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	2002-2005	1979–1984
提唱者	Kurozumi (2002); Carrion-i-Silvestre, Del Barrio & Lopez-Bazo (2005)	Said & Dickey (1984); building on Dickey & Fuller (1979)
種類	Stationarity test with structural breaks	Hypothesis test (unit root)
原典	Carrion-i-Silvestre, J. L., Del Barrio, T., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8(2), 159-175.	Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607.
別名	KPSS test with breaks, structural break stationarity test, KPSS break test, SB-KPSS	ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test
関連	6	5
概要	The structural break KPSS test extends the standard Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test to allow for one or more known or unknown structural breaks in the level or trend of a time series. Under the null hypothesis the series is stationary around a broken deterministic component, enabling researchers to distinguish genuine unit-root behaviour from apparent non-stationarity caused by regime shifts.	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.