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Granska de valda metoderna sida vid sida; rader som skiljer sig är markerade.
| Fourier Phillips-Perron (Fourier PP) enhetstests× | Augmented Dickey-Fuller (ADF) enhetsrotstest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2006 | 1979–1984 |
| Upphovsperson≠ | Becker, Enders, and Lee | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Typ≠ | Unit root test with Fourier approximation | Hypothesis test (unit root) |
| Ursprungskälla≠ | Enders, W., & Siklos, P. L. (2001). Cointegration and threshold adjustment. Journal of Business and Economic Statistics, 19(2), 166-176. 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 ↗ |
| Alias | Fourier PP test, Flexible Fourier PP unit root test, Enders-Lee Fourier PP test, nonlinear PP unit root test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Närliggande≠ | 6 | 5 |
| Sammanfattning≠ | The Fourier PP unit root test extends the classical Phillips-Perron test by embedding low-frequency Fourier terms in the deterministic component, enabling the test to account for an unknown number of smooth, gradual structural breaks in the level or trend without pre-specifying their timing or shape. | 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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