So sánh phương pháp

	Kiểm định DF-GLS: Kiểm định nghiệm đơn vị Dickey-Fuller đã khử xu hướng bằng GLS	Kiểm định nghiệm đơn vị (Unit-Root Test) Augmented Dickey-Fuller (ADF)	Kiểm định tính dừng KPSS
Lĩnh vực	Kinh tế lượng	Kinh tế lượng	Kinh tế lượng
Họ	Hypothesis test	Regression model	Regression model
Năm ra đời	1996	1979	1992
Người khởi xướng	Elliott, Rothenberg & Stock	David A. Dickey & Wayne A. Fuller	Kwiatkowski, Phillips, Schmidt & Shin
Loại	One-sided t-test on GLS-detrended series	Unit-root test for stationarity	Stationarity test (reverse of unit-root tests)
Công trình gốc	Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836.	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.
Tên gọi khác	Elliott-Rothenberg-Stock test, ERS unit-root test, GLS-detrended Dickey-Fuller test, DF-GLS birim kök testi	ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi	Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi
Liên quan	3	4	4
Tóm tắt	The DF-GLS test, introduced by Elliott, Rothenberg, and Stock (1996), is a modified augmented Dickey-Fuller procedure that applies generalized least squares (GLS) detrending before the standard unit-root regression. By removing deterministic components under a local alternative rather than the null hypothesis, the test achieves near-optimal power for detecting stationarity in time series, making it the preferred unit-root test in applied econometrics when a trend or intercept is present.	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.