Porovnat metody
Prohlédněte si vybrané metody vedle sebe; řádky, které se liší, jsou zvýrazněny.
| Panelový test kointegrace Engle-Grangera× | Test jednotkové odmocniny Panel ADF× | |
|---|---|---|
| Obor | Ekonometrie | Ekonometrie |
| Rodina | Regression model | Regression model |
| Rok vzniku≠ | 1999 | 2002–2003 |
| Tvůrce≠ | Pedroni (1999), extending Engle & Granger (1987) | Im, Pesaran & Shin (2003); Levin, Lin & Chu (2002) |
| Typ≠ | Cointegration test | Unit root / stationarity test |
| Původní zdroj≠ | 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 ↗ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. DOI ↗ |
| Další názvy | panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration | Panel ADF test, IPS test, Im-Pesaran-Shin test, panel unit root test |
| Příbuzné≠ | 5 | 6 |
| Shrnutí≠ | 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 Panel Augmented Dickey-Fuller (Panel ADF) unit root test extends the classical ADF framework to panel datasets. By pooling information across cross-sectional units it achieves substantially higher power than single-series ADF tests, allowing researchers to determine whether time-series variables are stationary or integrated of order one before modelling long-run relationships. |
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