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| Im-Pesaran-Shin (IPS) Panel Unit-Root-Test× | CIPS-Test – Querschnitts-augmentierter IPS-Panel-Einheitswurzeltest× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Hypothesis test | Hypothesis test |
| Entstehungsjahr≠ | 2003 | 2007 |
| Urheber≠ | Im, Pesaran & Shin | M. Hashem Pesaran |
| Typ≠ | Panel unit-root test allowing cross-sectional heterogeneity | Panel unit-root test with cross-section dependence |
| Wegweisende Quelle≠ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. 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 | IPS Test, IPS Panel Unit-Root Test, Heterogeneous Panel Unit-Root Test, Im-Pesaran-Shin Birim Kök Testi | Pesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök Testi |
| Verwandt | 3 | 3 |
| Zusammenfassung≠ | The Im-Pesaran-Shin (IPS) test, introduced by Im, Pesaran, and Shin in 2003, is a panel unit-root test designed for heterogeneous panels where the autoregressive coefficient is allowed to differ across cross-sectional units. It averages individual Augmented Dickey-Fuller (ADF) t-statistics and constructs a standardized statistic with a standard normal limiting distribution, making it one of the most widely applied first-generation panel unit-root tests in applied econometrics. | 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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