Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тест на одиничний корінь Філіпса-Перрона (PP)× | Розширений тест Дікі-Фуллера (ADF) на одиничний корінь× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1988 | 1979 |
| Автор методу≠ | Peter C. B. Phillips & Pierre Perron | David A. Dickey & Wayne A. Fuller |
| Тип | Unit-root test for stationarity | Unit-root test for stationarity |
| Основоположне джерело≠ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. 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≠ | PP test, Phillips-Perron unit root test, Phillips-Perron birim kök testi | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi |
| Пов'язані | 4 | 4 |
| Підсумок≠ | 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. | 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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