Methoden vergleichen
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| Breusch-Godfrey LM-Test auf serielle Korrelation× | CIPS-Test – Querschnitts-augmentierter IPS-Panel-Einheitswurzeltest× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie≠ | Regression model | Hypothesis test |
| Entstehungsjahr≠ | 1978 | 2007 |
| Urheber≠ | Trevor Breusch & Leslie Godfrey | M. Hashem Pesaran |
| Typ≠ | Lagrange-multiplier test for serial correlation | Panel unit-root test with cross-section dependence |
| Wegweisende Quelle≠ | Godfrey, L. G. (1978). Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. Econometrica, 46(6), 1293–1301. DOI ↗ | Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312. DOI ↗ |
| Aliasnamen | BG test, LM test for autocorrelation, Breusch-Godfrey serial correlation test, Breusch-Godfrey otokorelasyon testi | Pesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök Testi |
| Verwandt | 3 | 3 |
| Zusammenfassung≠ | The Breusch-Godfrey test is a Lagrange-multiplier test for serial correlation in regression residuals, developed independently by Trevor Breusch (1978) and Leslie Godfrey (1978). Unlike the Durbin-Watson test, it detects autocorrelation up to any chosen order p, remains valid when the model includes lagged dependent variables, and produces a definite chi-square p-value rather than an inconclusive region — making it the modern standard for autocorrelation testing. | The CIPS test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed for panels in which the cross-sectional units share unobserved common factors that induce cross-section dependence. By augmenting each individual ADF regression with cross-sectional averages and their lags, the CIPS test accounts for this dependence and produces reliable inference where first-generation tests such as the original IPS test break down. It is widely applied in macroeconomic and finance panels where shocks propagate across countries or regions. |
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