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| 증강된 Dickey-Fuller (ADF) 단위근 검정× | KPSS 정상성 검정× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1979 | 1992 |
| 창시자≠ | David A. Dickey & Wayne A. Fuller | Kwiatkowski, Phillips, Schmidt & Shin |
| 유형≠ | Unit-root test for stationarity | Stationarity test (reverse of unit-root tests) |
| 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 ↗ | Kwiatkowski, D., Phillips, P. C. B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1–3), 159–178. DOI ↗ |
| 별칭≠ | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| 관련 | 4 | 4 |
| 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 KPSS test, introduced by Kwiatkowski, Phillips, Schmidt and Shin in 1992, tests the null hypothesis that a series is stationary against the alternative that it contains a unit root — the reverse of the ADF and Phillips-Perron tests. By flipping the burden of proof, it is designed to be used alongside unit-root tests so that the two can confirm one another and expose ambiguous, borderline cases. |
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