Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Dünaamiline tavaliste vähimate ruutude (DOLS) estimaator× | Ühiste korreleeritud mõjude keskmise rühma (CCEMG) hinnang× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1993 | 2006 |
| Looja≠ | Stock & Watson (1993); panel extension Kao & Chiang (2001) | M. Hashem Pesaran |
| Tüüp≠ | Cointegrating regression estimator | Heterogeneous panel estimator |
| Algallikas≠ | Stock, J. H. & Watson, M. W. (1993). A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems. Econometrica, 61(4), 783–820. DOI ↗ | Pesaran, M. H. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012. DOI ↗ |
| Rööpnimetused≠ | DOLS, Stock-Watson dynamic OLS, dynamic least squares cointegration estimator, Dinamik OLS (DOLS) | common correlated effects, CCE, CCEMG, Pesaran CCE estimator |
| Seotud≠ | 5 | 4 |
| Kokkuvõte≠ | Dynamic OLS is a cointegrating-regression estimator introduced by Stock and Watson (1993) that recovers the long-run relationship between I(1) variables. It augments the static regression with leads and lags of the differenced regressors, correcting endogeneity bias parametrically so that the long-run coefficient can be estimated by ordinary least squares. | 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. |
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