Construct · 1 fields · 1 citations

Phillips-Perron test: a standalone construct

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Econometrics

a unit root test that corrects the Dickey-Fuller statistic nonparametrically for serial correlation and heteroskedasticity in the errors.

In econometrics, Phillips-Perron test refers to a unit root test that corrects the Dickey-Fuller statistic nonparametrically for serial correlation and heteroskedasticity in the errors. This meaning comes from Phillips (1988) in Biometrika.[1]

Unit
Recovery means
Measured by

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Nearby constructs

autocorrelation1 fields · 1 citationsanchor · a standalone construct correlation4 fields · 4 citationsjingle · one word, four constructs heteroskedasticity1 fields · 1 citationsanchor · a standalone construct

References

Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335

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