Panel Cointegration Tests (Pedroni, Kao, Westerlund)
Panel cointegration tests undersøger, hvorvidt et sæt af integrerede variable deler en stabil langsigtet ligevægtsrelation på tværs af et panel af tværsnitsenheder. Pedroni (1999, 2004) leverer tests for heterogene paneler med syv statistikker, Kao (1999) giver en ADF-baseret test for homogene paneler, og Westerlund (2007) tilføjer fejlkorrektionsbaserede tests, der er robuste over for strukturelle brud og tværsnitsafhængighed.
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Kilder
- 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: 10.1017/S0266466604203073 ↗
- Westerlund, J. (2007). Testing for Error Correction in Panel Data. Oxford Bulletin of Economics and Statistics, 69(6), 709–748. DOI: 10.1111/j.1468-0084.2007.00477.x ↗
Sådan citerer du denne side
ScholarGate. (2026, June 1). Panel Cointegration Tests (Pedroni, Kao, Westerlund). ScholarGate. https://scholargate.app/da/econometrics/panel-cointegration
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- Augmented Mean Group (AMG) EstimatorØkonometri↔ compare
- Almindelig mindste kvadraters metode (OLS) regressionØkonometri↔ compare
- Panel Data Fixed Effects ModelØkonometri↔ compare
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