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CIPS Test×ক্রস-সেকশনালি অগমেন্টেড ডিকি-ফুলার (CADF) পরীক্ষা×ইম-পেসারান-শিন (IPS) প্যানেল ইউনিট-রুট পরীক্ষা×
ক্ষেত্রঅর্থমিতিঅর্থমিতিঅর্থমিতি
পরিবারHypothesis testHypothesis testHypothesis test
উদ্ভবের বছর200720072003
প্রবর্তকM. Hashem PesaranM. Hashem PesaranIm, Pesaran & Shin
ধরনPanel unit-root test with cross-section dependencePanel unit-root test with cross-sectional augmentationPanel unit-root test allowing cross-sectional heterogeneity
মৌলিক উৎসPesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312. DOI ↗Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312. DOI ↗Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. DOI ↗
অপর নামPesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök TestiCross-Sectionally Augmented ADF, Panel CADF Test, Pesaran Panel Unit Root Test, CADF Birim Kök TestiIPS Test, IPS Panel Unit-Root Test, Heterogeneous Panel Unit-Root Test, Im-Pesaran-Shin Birim Kök Testi
সম্পর্কিত333
সারসংক্ষেপThe CIPS test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed for panels in which the cross-sectional units share unobserved common factors that induce cross-section dependence. By augmenting each individual ADF regression with cross-sectional averages and their lags, the CIPS test accounts for this dependence and produces reliable inference where first-generation tests such as the original IPS test break down. It is widely applied in macroeconomic and finance panels where shocks propagate across countries or regions.The Cross-sectionally Augmented Dickey-Fuller (CADF) test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed to handle cross-sectional dependence among panel units. Unlike first-generation panel unit-root tests that assume cross-sectional independence, the CADF test augments individual ADF regressions with cross-sectional averages of lagged levels and first differences, making it suitable for macro-panels and cross-country studies where common factors drive co-movement.The Im-Pesaran-Shin (IPS) test, introduced by Im, Pesaran, and Shin in 2003, is a panel unit-root test designed for heterogeneous panels where the autoregressive coefficient is allowed to differ across cross-sectional units. It averages individual Augmented Dickey-Fuller (ADF) t-statistics and constructs a standardized statistic with a standard normal limiting distribution, making it one of the most widely applied first-generation panel unit-root tests in applied econometrics.
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ScholarGateপদ্ধতির তুলনা করুন: CIPS Test · CADF Test · Im-Pesaran-Shin Test. 2026-06-19 তারিখে সংগৃহীত, উৎস: https://scholargate.app/bn/compare