Salīdzināt metodes
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| KPSS stacionaritātes tests× | Filipsa-Perona (PP) vienības saknes tests× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 1992 | 1988 |
| Autors≠ | Kwiatkowski, Phillips, Schmidt & Shin | Peter C. B. Phillips & Pierre Perron |
| Tips≠ | Stationarity test (reverse of unit-root tests) | Unit-root test for stationarity |
| Pirmavots≠ | 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 ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| Citi nosaukumi | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi | PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi |
| Saistītās | 4 | 4 |
| Kopsavilkums≠ | 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. | The Phillips-Perron test, proposed by Peter Phillips and Pierre Perron in 1988, tests for a unit root in a time series, like the Augmented Dickey-Fuller test, but corrects for autocorrelation and heteroskedasticity in the errors non-parametrically rather than by adding lagged differences. It runs a simple Dickey-Fuller regression and then adjusts the test statistic using a long-run variance estimate, so the practitioner need not choose a lag length for the regression itself. |
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