Sammenlign metoder
Gjennomgå de valgte metodene side om side; rader som avviker, er uthevet.
| Fourier KPSS-test for stasjonaritet med glatte strukturelle brot× | KPSS-stasjonaritetstest× | Panel KPSS-test (Hadri Panel Stasjonaritetstest)× | |
|---|---|---|---|
| Fagfelt | Økonometri | Økonometri | Økonometri |
| Familie | Regression model | Regression model | Regression model |
| Opprinnelsesår≠ | 2006 | 1992 | 2000 |
| Opphavsperson≠ | Becker, Enders, and Lee | Kwiatkowski, Phillips, Schmidt & Shin | Hadri (2000), extending Kwiatkowski, Phillips, Schmidt, and Shin (1992) |
| Type≠ | Stationarity test | Stationarity test (reverse of unit-root tests) | Panel stationarity test |
| Opprinnelig kilde≠ | Becker, R., Enders, W., & Lee, J. (2006). A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. DOI ↗ | 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 ↗ | Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. Econometrics Journal, 3(2), 148-161. DOI ↗ |
| Alias≠ | Fourier KPSS, flexible Fourier stationarity test, F-KPSS, KPSS with Fourier approximation | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi | KPSS panel stationarity test, panel stationarity test, Hadri LM test, panel KPSS |
| Relaterte≠ | 3 | 4 | 6 |
| Sammendrag≠ | The Fourier KPSS test extends the standard KPSS stationarity test by embedding a flexible Fourier series in the deterministic component of the model. This approach captures smooth, gradual structural breaks in the level or trend of a time series without requiring the researcher to specify the number or timing of those breaks, yielding more reliable inference under structural change. | 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 Panel KPSS test, introduced by Hadri (2000), tests the null hypothesis that all series in a panel are stationary against the alternative that some or all contain a unit root. It extends the univariate KPSS framework to panel data by aggregating individual LM statistics, providing higher power than unit-root tests when most series are in fact stationary. |
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