Salīdzināt metodes

	Robustais papildinātais Dekija-Fullera vienības saknes tests	Nelineārais ADF vienības saknes tests (KSS tests)
Nozare	Ekonometrija	Ekonometrija
Saime	Regression model	Regression model
Izcelsmes gads	1996-2001	2003
Autors	Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996)	Kapetanios, Shin, and Snell
Tips	Unit root / stationarity test	Nonlinear unit root test
Pirmavots	Ng, S., and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554.	Kapetanios, G., Shin, Y., & Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359-379.
Citi nosaukumi	robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF	KSS test, nonlinear unit root test, ESTAR unit root test, Kapetanios-Shin-Snell test
Saistītās	6	6
Kopsavilkums	The Robust ADF unit root test extends the classical ADF procedure with improvements that correct for size distortions arising from heteroscedastic or serially correlated errors, and from poor lag-length selection. Drawing on GLS detrending (Elliott, Rothenberg, and Stock 1996) and modified information criteria (Ng and Perron 2001), it delivers reliable size and power in the presence of non-standard error processes common in macroeconomic and financial time series.	The Nonlinear ADF unit root test, most prominently operationalized by Kapetanios, Shin, and Snell (2003), extends the classical Augmented Dickey-Fuller test to detect mean reversion that occurs via an Exponential Smooth Transition Autoregressive (ESTAR) process. It tests the null of a unit root against a nonlinear stationary alternative, capturing adjustment dynamics that the standard linear ADF test misses.