Hypothesis testUnit-root tests
DF-GLS检验：GLS去趋势迪基-福勒单位根检验
DF-GLS检验由Elliott、Rothenberg和Stock（1996）提出，是一种修正的增广迪基-福勒程序，它在标准单位根回归之前应用广义最小二乘（GLS）去趋势。通过在局部备择假设而非原假设下移除确定性成分，该检验在检测时间序列平稳性方面实现了接近最优的功效，使其成为应用计量经济学中存在趋势或截距时首选的单位根检验。
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来源
- Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836. DOI: 10.2307/2171846 ↗
如何引用本页
ScholarGate. (2026, June 2). Dickey-Fuller GLS (ERS) Unit-Root Test. ScholarGate. https://scholargate.app/zh/econometrics/df-gls
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