Regression modelEconometrics / time series
结构性断裂Phillips-Perron单位根检验
结构性断裂Phillips-Perron (PP) 单位根检验扩展了经典的PP框架，允许时间序列的水平或趋势发生一个或多个离散的转变。通过内生或外生识别断裂点日期并对其进行控制，该检验旨在拒绝单位根原假设，支持能够适应结构性变化的趋势平稳备择假设，从而避免因忽略断裂点而导致的虚假接受非平稳性。
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来源
- Perron, P. (1997). Further evidence on breaking trend functions in macroeconomic variables. Journal of Econometrics, 80(2), 355-385. DOI: 10.1016/S0304-4076(97)00049-3 ↗
- Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. DOI: 10.1093/biomet/75.2.335 ↗
如何引用本页
ScholarGate. (2026, June 3). Structural Break Phillips-Perron Unit Root Test. ScholarGate. https://scholargate.app/zh/econometrics/structural-break-pp-unit-root-test