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| 结构性断点KPSS检验× | Phillips-Perron单位根检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2002-2005 | 1988 |
| 提出者≠ | Kurozumi (2002); Carrion-i-Silvestre, Del Barrio & Lopez-Bazo (2005) | Peter C. B. Phillips and Pierre Perron |
| 类型≠ | Stationarity test with structural breaks | Hypothesis test (unit root) |
| 开创性文献≠ | Carrion-i-Silvestre, J. L., Del Barrio, T., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the GDP per capita. Econometrics Journal, 8(2), 159-175. DOI ↗ | Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. DOI ↗ |
| 别名 | KPSS test with breaks, structural break stationarity test, KPSS break test, SB-KPSS | PP test, PP unit root test, Phillips-Perron test, nonparametric unit root test |
| 相关≠ | 6 | 5 |
| 摘要≠ | The structural break KPSS test extends the standard Kwiatkowski-Phillips-Schmidt-Shin (KPSS) stationarity test to allow for one or more known or unknown structural breaks in the level or trend of a time series. Under the null hypothesis the series is stationary around a broken deterministic component, enabling researchers to distinguish genuine unit-root behaviour from apparent non-stationarity caused by regime shifts. | The Phillips-Perron (PP) test is a nonparametric unit root test for time series that corrects for serial correlation and heteroscedasticity in the error term without adding lagged differences. Introduced by Phillips and Perron (1988), it applies a kernel-based long-run variance estimator to adjust the Dickey-Fuller statistic, making it robust to a wide class of weakly dependent error processes. |
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