Phillips–Perron test
id:
phillips-perron-test-253-10316801
title:
Phillips–Perron test
text:
In statistics, the Phillips–Perron test is a unit root test. That is, it is used in time series analysis to test the null hypothesis that a time series is integrated of order 1. It builds on the Dickey–Fuller test of the null hypothesis ρ = 1 in Δ y t = y t − 1 + u t , where Δ is the first difference operator. Like the augmented Dickey–Fuller test, the Phillips–Perron test addresses the issue that the process generating data for y t might have a higher order of autocorrelation than is admitted i
brand slug:
wiki
category slug:
encyclopedia
description:
Statistical test
original url:
https://en.wikipedia.org/wiki/Phillips%E2%80%93Perron_test
date created:
date modified:
2022-03-30T00:12:11Z
main entity:
{"identifier":"Q7185973","url":"https://www.wikidata.org/entity/Q7185973"}
image:
fields total:
13
integrity:
14