Regression modelEconometrics / time series
稳健KPSS单位根检验
稳健KPSS检验是对经典的Kwiatkowski-Phillips-Schmidt-Shin (1992) 协整检验的扩展，它用稳健的或异方差稳健的估计量替代传统的长期方差估计量，从而在存在污染观测值、结构性断裂或非标准误差分布的情况下，保持可靠的显著性水平和检验功效。
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来源
- 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: 10.1016/0304-4076(92)90104-Y ↗
- Hobijn, B., Franses, P. H., & Ooms, M. (2004). Generalizations of the KPSS-test for stationarity. Statistica Neerlandica, 58(4), 483-502. DOI: 10.1111/j.1467-9574.2004.00272.x ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Kwiatkowski-Phillips-Schmidt-Shin Test. ScholarGate. https://scholargate.app/zh/econometrics/robust-kpss-test
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