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| 강건한 Phillips-Perron (PP) 단위근 검정× | 비선형 PP 단위근 검정× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 1988 (base); 2000s–2010s (robust extensions) | 1988 (base); 2000s (nonlinear extensions) |
| 창시자≠ | Phillips & Perron (1988); robustification by Cavaliere & Taylor (2008) and related authors | Phillips & Perron (1988); nonlinear extensions by Kapetanios, Shin & Snell (2003) and related authors |
| 유형≠ | Unit root / stationarity test | Unit root test with nonlinear adjustment |
| 원전≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. DOI ↗ |
| 별칭 | robust Phillips-Perron test, heteroskedasticity-robust PP test, nonparametric robust unit root test, robust PP | Nonlinear PP test, Nonlinear Phillips-Perron test, PP unit root test with nonlinear adjustment, nonlinear PP |
| 관련 | 6 | 6 |
| 요약≠ | The Robust Phillips-Perron unit root test extends the classical PP test by applying corrections — such as heteroskedasticity-consistent covariance estimation or wild-bootstrap critical values — that maintain valid inference when the error variance of a time series is non-constant or exhibits unconditional heteroskedasticity, conditions under which the standard PP test is severely size-distorted. | The Nonlinear Phillips-Perron unit root test extends the classic PP test by allowing the adjustment toward equilibrium to follow a nonlinear path — such as a smooth transition or threshold mechanism — rather than assuming a constant linear speed of adjustment. This makes it more powerful when the true data-generating process involves regime-dependent or asymmetric mean-reversion dynamics. |
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