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Regression model

Kipimo cha Phillips-Perron (PP) cha Mizizi ya Muungano

Kipimo cha Phillips-Perron, kilichoanzishwa na Peter Phillips na Pierre Perron mwaka 1988, hupima mizizi ya muungano katika mfululizo wa wakati, kama kipimo cha Augmented Dickey-Fuller, lakini hurekebisha kwa ajili ya uhusiano wa kiotomatiki na uhalali wa makosa kwa njia isiyo ya kigezo badala ya kuongeza tofauti za kuchelewa. Huendesha regression rahisi ya Dickey-Fuller na kisha hurekebisha takwimu ya kipimo kwa kutumia makadirio ya kiwango cha muda mrefu cha utofauti, hivyo mtaalamu hahitaji kuchagua urefu wa kuchelewa kwa ajili ya regression yenyewe.

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Vyanzo

  1. Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI: 10.1093/biomet/75.2.335
  2. Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. DOI: 10.2307/1913610

Jinsi ya kunukuu ukurasa huu

ScholarGate. (2026, June 2). Phillips-Perron (PP) Unit-Root Test. ScholarGate. https://scholargate.app/sw/econometrics/phillips-perron-test

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Imerejelewa na

ScholarGatePhillips-Perron Test (Phillips-Perron (PP) Unit-Root Test). Imepatikana 2026-06-15 kutoka https://scholargate.app/sw/econometrics/phillips-perron-test · Seti ya data: https://doi.org/10.5281/zenodo.20539026