Порівняння методів

	Розширений тест Дікі-Фуллера (ADF) на одиничний корінь	Тест KPSS на стаціонарність	Тест на одиничний корінь Філіпса-Перрона (PP)
Галузь	Економетрика	Економетрика	Економетрика
Родина	Regression model	Regression model	Regression model
Рік появи	1979	1992	1988
Автор методу	David A. Dickey & Wayne A. Fuller	Kwiatkowski, Phillips, Schmidt & Shin	Peter C. B. Phillips & Pierre Perron
Тип	Unit-root test for stationarity	Stationarity test (reverse of unit-root tests)	Unit-root test for stationarity
Основоположне джерело	Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431.	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.	Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346.
Інші назви	ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi	Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi	PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi
Пов'язані	4	4	4
Підсумок	The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero.	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.	The Phillips-Perron test, proposed by Peter Phillips and Pierre Perron in 1988, tests for a unit root in a time series, like the Augmented Dickey-Fuller test, but corrects for autocorrelation and heteroskedasticity in the errors non-parametrically rather than by adding lagged differences. It runs a simple Dickey-Fuller regression and then adjusts the test statistic using a long-run variance estimate, so the practitioner need not choose a lag length for the regression itself.