方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| 稳健增广迪基-福勒（ADF）单位根检验× | KPSS平稳性检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1996-2001 | 1992 |
| 提出者≠ | Ng and Perron (2001); Elliott, Rothenberg, and Stock (1996) | Kwiatkowski, Phillips, Schmidt & Shin |
| 类型≠ | Unit root / stationarity test | Stationarity test (reverse of unit-root tests) |
| 开创性文献≠ | 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 ↗ |
| 别名≠ | robust ADF test, HAC-corrected ADF, heteroscedasticity-robust unit root test, GLS-detrended ADF | Kwiatkowski-Phillips-Schmidt-Shin test, stationarity test, KPSS durağanlık testi |
| 相关≠ | 6 | 4 |
| 摘要≠ | 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. |
| ScholarGate数据集 ↗ |
|
|