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| Тест за коинтеграция на панел на Енгъл-Грейнджър× | Тест на коинтеграция на Енгъл-Грейнджър× | |
|---|---|---|
| Област | Иконометрия | Иконометрия |
| Семейство | Regression model | Regression model |
| Година на възникване≠ | 1999 | 1987 |
| Създател≠ | Pedroni (1999), extending Engle & Granger (1987) | Robert F. Engle and Clive W. J. Granger |
| Тип | Cointegration test | Cointegration test |
| Основополагащ източник≠ | Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61(S1), 653-670. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Други названия | panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration | EG cointegration test, Engle-Granger two-step method, residual-based cointegration test, EG test |
| Свързани | 5 | 5 |
| Резюме≠ | The Panel Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure to panel data, allowing researchers to detect long-run equilibrium relationships among integrated variables across multiple cross-sectional units simultaneously. Pedroni (1999) developed panel statistics that pool information across units while allowing heterogeneous short-run dynamics and individual-specific intercepts and trends. | The Engle-Granger two-step method tests whether two or more non-stationary I(1) time series share a common stochastic trend — that is, whether a linear combination of them is stationary. If cointegration is confirmed, an error-correction model (ECM) can be estimated to capture both short-run dynamics and long-run equilibrium adjustment. |
| ScholarGateНабор от данни ↗ |
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