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| Test pierwiastka jednostkowego Phillipsa-Perrona (PP)× | Test ko-integracji (Johansen / Engle-Granger)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania | 1988 | 1988 |
| Twórca≠ | Peter C. B. Phillips & Pierre Perron | Engle & Granger (1987); Johansen (1988) |
| Typ≠ | Unit-root test for stationarity | Time-series cointegration test |
| Źródło pierwotne≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ | Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. DOI ↗ |
| Inne nazwy≠ | PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi | Johansen cointegration test, Engle-Granger cointegration test, long-run equilibrium test, Eşbütünleşme Testi (Johansen/Engle-Granger) |
| Pokrewne≠ | 4 | 5 |
| Podsumowanie≠ | 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. | The cointegration test examines whether non-stationary time series that each contain a unit root share a stable long-run equilibrium relationship. The single-equation residual approach was introduced by Engle and Granger (1987) and the system-based rank approach by Johansen (1988). |
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