Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Ühiste korreleeritud mõjude keskmise rühma (CCEMG) hinnang× | Paneelkointegratsioonitestid (Pedroni, Kao, Westerlund)× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2006 | 2004 |
| Looja≠ | M. Hashem Pesaran | Pedroni; Kao; Westerlund |
| Tüüp≠ | Heterogeneous panel estimator | Panel cointegration test |
| Algallikas≠ | Pesaran, M. H. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012. DOI ↗ | 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 ↗ |
| Rööpnimetused | common correlated effects, CCE, CCEMG, Pesaran CCE estimator | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Seotud≠ | 4 | 3 |
| Kokkuvõte≠ | The Common Correlated Effects Mean Group estimator, introduced by Pesaran in 2006, is a heterogeneous panel-data estimator that controls for cross-sectional dependence by approximating unobserved common factors with the cross-section averages of the variables. It remains consistent when the slope coefficients differ across units. | Panel cointegration tests check whether a set of integrated variables share a stable long-run equilibrium relationship across a panel of cross-sectional units. Pedroni (1999, 2004) provides heterogeneous-panel tests with seven statistics, Kao (1999) gives an ADF-based homogeneous-panel test, and Westerlund (2007) adds error-correction-based tests robust to structural breaks and cross-sectional dependence. |
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