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| Panel VECM (Panel Vector Error Correction Model)× | Panel Granger kausalitetstest× | |
|---|---|---|
| Fagområde | Økonometri | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1987–1995 | 1988–2012 |
| Ophavsperson≠ | Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension | Holtz-Eakin, Newey & Rosen (1988); Dumitrescu & Hurlin (2012) |
| Type≠ | Multivariate dynamic panel model | Causality test |
| Oprindelig kilde≠ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Dumitrescu, E.-I., & Hurlin, C. (2012). Testing for Granger non-causality in heterogeneous panels. Economic Modelling, 29(4), 1450–1460. DOI ↗ |
| Aliasser | Panel VECM, panel vector error correction model, PVECM, panel cointegrating VAR | panel causality test, Dumitrescu-Hurlin test, heterogeneous panel causality, panel Granger test |
| Relaterede | 5 | 5 |
| Resumé≠ | Panel VECM combines vector error correction modelling with panel data, simultaneously capturing the long-run cointegrating equilibrium among multiple I(1) variables and their short-run adjustment dynamics across multiple cross-sectional units. It is the standard framework when panel variables share at least one common stochastic trend. | The Panel Granger Causality test examines whether past values of one variable help predict another variable across multiple cross-sectional units observed over time. It extends the classical Granger causality framework to panel data, accounting for cross-sectional heterogeneity and enabling more powerful inference by pooling information across units. |
| ScholarGateDatasæt ↗ |
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