Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тест KPSS на стаціонарність× | Розширений тест Дікі-Фуллера (ADF) на одиничний корінь× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1992 | 1979 |
| Автор методу≠ | Kwiatkowski, Phillips, Schmidt & Shin | David A. Dickey & Wayne A. Fuller |
| Тип≠ | Stationarity test (reverse of unit-root tests) | Unit-root test for stationarity |
| Основоположне джерело≠ | 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 ↗ | 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. DOI ↗ |
| Інші назви≠ | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi |
| Пов'язані | 4 | 4 |
| Підсумок≠ | 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 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. |
| ScholarGateНабір даних ↗ |
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