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| 증강된 Dickey-Fuller (ADF) 단위근 검정× | ERS 점 최적 단위근 검정× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열≠ | Regression model | Hypothesis test |
| 기원 연도≠ | 1979 | 1996 |
| 창시자≠ | David A. Dickey & Wayne A. Fuller | Elliott, Rothenberg & Stock |
| 유형≠ | Unit-root test for stationarity | One-sided parametric unit-root test |
| 원전≠ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836. DOI ↗ |
| 별칭 | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi | ERS P-test, Point-Optimal Unit-Root Test, ERS PT statistic, ERS Nokta-Optimal Birim Kök Testi |
| 관련≠ | 4 | 3 |
| 요약≠ | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. | The Elliott-Rothenberg-Stock (ERS) Point-Optimal test, introduced in their landmark 1996 Econometrica paper, is a near-efficient parametric procedure for testing whether a univariate time series contains a unit root. By first applying GLS detrending at a carefully chosen local-to-unity value and then computing a likelihood-ratio-type statistic, it achieves power close to the Gaussian power envelope—making it one of the most powerful unit-root tests available to applied econometricians. |
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