เปรียบเทียบวิธี
ดูวิธีที่เลือกเทียบกันแบบเคียงข้าง แถวที่ต่างกันจะถูกเน้นไว้
| Robust ADF Unit Root Test× | การทดสอบภาวะอยู่กับที่ของ KPSS× | |
|---|---|---|
| สาขาวิชา | เศรษฐมิติ | เศรษฐมิติ |
| ตระกูล | Regression model | Regression model |
| ปีกำเนิด≠ | 1996-2001 | 1992 |
| ผู้ริเริ่ม≠ | Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996) | Kwiatkowski, Phillips, Schmidt & Shin |
| ประเภท≠ | Unit root / stationarity test | Stationarity test (reverse of unit-root tests) |
| แหล่งต้นตำรับ≠ | Ng, S., and Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69(6), 1519-1554. 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 ↗ |
| ชื่อเรียกอื่น≠ | robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| ที่เกี่ยวข้อง≠ | 6 | 4 |
| สรุป≠ | The Robust ADF unit root test extends the classical ADF procedure with improvements that correct for size distortions arising from heteroscedastic or serially correlated errors, and from poor lag-length selection. Drawing on GLS detrending (Elliott, Rothenberg, and Stock 1996) and modified information criteria (Ng and Perron 2001), it delivers reliable size and power in the presence of non-standard error processes common in macroeconomic and financial time series. | 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. |
| ScholarGateชุดข้อมูล ↗ |
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