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| La prova de límits ARDL (Pesaran Bounds Test)× | Estimador de Mitjana de Grup d'Efectes Correlacionats Comuns (CCEMG)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 2001 | 2006 |
| Autor original≠ | Pesaran, Shin & Smith | M. Hashem Pesaran |
| Tipus≠ | Cointegration test / Autoregressive distributed lag model | Heterogeneous panel estimator |
| Font seminal≠ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ | Pesaran, M. H. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012. DOI ↗ |
| Àlies≠ | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) | common correlated effects, CCE, CCEMG, Pesaran CCE estimator |
| Relacionats | 4 | 4 |
| Resum≠ | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. | The Common Correlated Effects Mean Group estimator, introduced by Pesaran in 2006, is a heterogeneous panel-data estimator that controls for cross-sectional dependence by approximating unobserved common factors with the cross-section averages of the variables. It remains consistent when the slope coefficients differ across units. |
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