Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Paneļa Filipsa-Perona vienības saknes tests× | Paplašinātais Dikija-Fullera (ADF) vienības saknes tests× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 1988 (original PP); panel adaptation widely established by 2003 | 1979–1984 |
| Autors≠ | Phillips & Perron (1988); panel extension by Im, Pesaran & Shin (2003) | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Tips≠ | Nonparametric unit root test | Hypothesis test (unit root) |
| Pirmavots≠ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53-74. DOI ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| Citi nosaukumi | Panel PP test, Phillips-Perron panel unit root, Im-Pesaran-Shin PP panel test, panel nonparametric unit root test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Saistītās≠ | 6 | 5 |
| Kopsavilkums≠ | The Panel PP unit root test extends the nonparametric Phillips-Perron correction for serial correlation to a multi-individual panel setting. It tests the null hypothesis that all cross-sectional units contain a unit root, using a pooled or averaged PP-type statistic that is robust to heteroscedastic and serially correlated errors without requiring explicit lag selection. | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. |
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