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| Panel-ARDL-Grenzwerttest× | Panel Vector Error Correction Model (Panel VECM)× | |
|---|---|---|
| Fachgebiet | Ökonometrie | Ökonometrie |
| Familie | Regression model | Regression model |
| Entstehungsjahr≠ | 2001 | 1987–1995 |
| Urheber≠ | Pesaran, Shin & Smith | Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension |
| Typ≠ | Bounds test for cointegration | Multivariate dynamic panel model |
| Wegweisende Quelle≠ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Aliasnamen | Panel ARDL, Panel bounds testing, Panel ARDL cointegration, Panel PSS bounds test | Panel VECM, panel vector error correction model, PVECM, panel cointegrating VAR |
| Verwandt≠ | 6 | 5 |
| Zusammenfassung≠ | The Panel ARDL Bounds Test extends the Pesaran, Shin and Smith (2001) bounds testing procedure to panel data, allowing researchers to test for long-run cointegrating relationships between variables without requiring all series to be integrated of the same order. It is widely used in macro-panel studies where variables may be I(0), I(1), or a mixture of both. | 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. |
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