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| DF-GLS 검정: GLS 추세 제거된 Dickey-Fuller 단위근 검정× | 증강된 Dickey-Fuller (ADF) 단위근 검정× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열≠ | Hypothesis test | Regression model |
| 기원 연도≠ | 1996 | 1979 |
| 창시자≠ | Elliott, Rothenberg & Stock | David A. Dickey & Wayne A. Fuller |
| 유형≠ | One-sided t-test on GLS-detrended series | Unit-root test for stationarity |
| 원전≠ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836. DOI ↗ | 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 ↗ |
| 별칭 | Elliott-Rothenberg-Stock test, ERS unit-root test, GLS-detrended Dickey-Fuller test, DF-GLS birim kök testi | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi |
| 관련≠ | 3 | 4 |
| 요약≠ | The DF-GLS test, introduced by Elliott, Rothenberg, and Stock (1996), is a modified augmented Dickey-Fuller procedure that applies generalized least squares (GLS) detrending before the standard unit-root regression. By removing deterministic components under a local alternative rather than the null hypothesis, the test achieves near-optimal power for detecting stationarity in time series, making it the preferred unit-root test in applied econometrics when a trend or intercept is present. | 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. |
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