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| Robust Phillips-Perron (PP) enhetsrotstest× | KPSS-stationaritetstest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1988 (base); 2000s–2010s (robust extensions) | 1992 |
| Upphovsperson≠ | Phillips & Perron (1988); robustification by Cavaliere & Taylor (2008) and related authors | Kwiatkowski, Phillips, Schmidt & Shin |
| Typ≠ | Unit root / stationarity test | Stationarity test (reverse of unit-root tests) |
| Ursprungskälla≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. 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 ↗ |
| Alias≠ | robust Phillips-Perron test, heteroskedasticity-robust PP test, nonparametric robust unit root test, robust PP | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| Närliggande≠ | 6 | 4 |
| Sammanfattning≠ | The Robust Phillips-Perron unit root test extends the classical PP test by applying corrections — such as heteroskedasticity-consistent covariance estimation or wild-bootstrap critical values — that maintain valid inference when the error variance of a time series is non-constant or exhibits unconditional heteroskedasticity, conditions under which the standard PP test is severely size-distorted. | 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. |
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