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| Estimador FMOLS (Fully Modified OLS)× | Proves de cointegració de panell (Pedroni, Kao, Westerlund)× | |
|---|---|---|
| Camp | Econometria | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1990 | 2004 |
| Autor original≠ | Phillips & Hansen (time series); Pedroni (heterogeneous panels) | Pedroni; Kao; Westerlund |
| Tipus≠ | Cointegrating regression estimator | Panel cointegration test |
| Font seminal≠ | Phillips, P. C. B. & Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. Review of Economic Studies, 57(1), 99–125. DOI ↗ | Pedroni, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis. Econometric Theory, 20(3), 597–625. DOI ↗ |
| Àlies≠ | fully modified OLS, Phillips-Hansen FMOLS, Tam Düzeltilmiş OLS (FMOLS) | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Relacionats≠ | 5 | 3 |
| Resum≠ | Fully Modified OLS, introduced by Phillips and Hansen (1990), estimates the long-run coefficients of a cointegrating relationship among I(1) variables. It applies a semi-parametric correction to ordinary least squares to remove the bias that endogeneity and serial correlation otherwise induce in cointegrated time series or panel data. | Panel cointegration tests check whether a set of integrated variables share a stable long-run equilibrium relationship across a panel of cross-sectional units. Pedroni (1999, 2004) provides heterogeneous-panel tests with seven statistics, Kao (1999) gives an ADF-based homogeneous-panel test, and Westerlund (2007) adds error-correction-based tests robust to structural breaks and cross-sectional dependence. |
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