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| Panel KPSS-testen (Hadri Panel Stationarity Test)× | Panel Phillips-Perron enhedsrodstest× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 2000 | 1988 (original PP); panel adaptation widely established by 2003 |
| Ophavsperson≠ | Hadri (2000), extending Kwiatkowski, Phillips, Schmidt, and Shin (1992) | Phillips & Perron (1988); panel extension by Im, Pesaran & Shin (2003) |
| Type≠ | Panel stationarity test | Nonparametric unit root test |
| Oprindelig kilde≠ | Hadri, K. (2000). Testing for stationarity in heterogeneous panel data. Econometrics Journal, 3(2), 148-161. 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 ↗ |
| Aliasser | KPSS panel stationarity test, panel stationarity test, Hadri LM test, panel KPSS | Panel PP test, Phillips-Perron panel unit root, Im-Pesaran-Shin PP panel test, panel nonparametric unit root test |
| Relaterede | 6 | 6 |
| Resumé≠ | The Panel KPSS test, introduced by Hadri (2000), tests the null hypothesis that all series in a panel are stationary against the alternative that some or all contain a unit root. It extends the univariate KPSS framework to panel data by aggregating individual LM statistics, providing higher power than unit-root tests when most series are in fact stationary. | The Panel PP unit root test extends the nonparametric Phillips-Perron correction for serial correlation to a multi-individual panel setting. It tests the null hypothesis that all cross-sectional units contain a unit root, using a pooled or averaged PP-type statistic that is robust to heteroscedastic and serially correlated errors without requiring explicit lag selection. |
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