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| Δοκιμή DF-GLS για Πάνελ× | Δοκιμή KSS (Panel KSS)× | |
|---|---|---|
| Πεδίο | Οικονομετρία | Οικονομετρία |
| Οικογένεια | Regression model | Regression model |
| Έτος προέλευσης≠ | 1996 | 1992 |
| Δημιουργός≠ | Elliott, Rothenberg, and Stock (adapted to panels) | Kwiatkowski, Phillips, Schmidt, and Shin (panel version by Hadri) |
| Τύπος≠ | Stationarity test | Unit-root test |
| Θεμελιώδης πηγή≠ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometric Reviews, 13(4), 469-497. DOI ↗ | Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1-3), 159-178. DOI ↗ |
| Εναλλακτικές ονομασίες | Panel unit-root test | Panel stationarity test |
| Συναφείς | 3 | 3 |
| Σύνοψη≠ | Panel DF-GLS extends the Elliott, Rothenberg, and Stock (1996) GLS unit-root test to panel data, combining cross-sectional and time-series information to test whether variables contain unit roots. Introduced by Hadri and colleagues (2005), it is more powerful than standard panel unit-root tests (IPS, LLC) due to its GLS detrending approach. This test is essential for establishing stationarity before fitting cointegration or dynamic panel models. | The Panel KSS test reverses the null hypothesis of unit-root tests: it tests whether variables are stationary (stationarity is the null) versus nonstationary (unit root is the alternative). Introduced by Kwiatkowski et al. (1992) and extended to panels by Hadri (2000), this complementary approach provides robustness when combined with unit-root tests like Panel DF-GLS. Using both tests together reduces the risk of erroneous conclusions about variable persistence. |
| ScholarGateΣύνολο δεδομένων ↗ |
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