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| Panel KPSS-test (Hadri Panel Stationarity Test)× | Augmented Dickey-Fuller (ADF) enhetsrotstest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2000 | 1979–1984 |
| Upphovsperson≠ | Hadri (2000), extending Kwiatkowski, Phillips, Schmidt, and Shin (1992) | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Typ≠ | Panel stationarity test | Hypothesis test (unit root) |
| Ursprungskälla≠ | Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. Econometrics Journal, 3(2), 148-161. 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 | KPSS panel stationarity test, panel stationarity test, Hadri LM test, panel KPSS | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Närliggande≠ | 6 | 5 |
| Sammanfattning≠ | 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. | 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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