Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Paneeli Toda-Yamamoto põhjuslikkuse test× | Toda-Yamamoto põhjuslikkuse test× | |
|---|---|---|
| Valdkond | Ökonomeetria | Ökonomeetria |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 1995 (panel extension from 2006) | 1995 |
| Looja≠ | Toda & Yamamoto (1995); extended to panel settings by Konya (2006) and others | Toda, H. Y. and Yamamoto, T. |
| Tüüp≠ | Causality test (non-causality hypothesis) | Causality test |
| Algallikas | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. DOI ↗ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. DOI ↗ |
| Rööpnimetused | Panel TY causality test, Toda-Yamamoto panel causality, panel modified Wald causality test, panel MWALD causality | Toda-Yamamoto test, TY causality test, modified Wald test for Granger causality, TY-MWALD |
| Seotud | 5 | 5 |
| Kokkuvõte≠ | The Panel Toda-Yamamoto (PTY) causality test extends the Toda-Yamamoto modified Wald approach to panel data, allowing researchers to test Granger non-causality across multiple cross-sectional units without requiring pre-testing for cointegration or imposing a common causality direction on all units. | The Toda-Yamamoto (TY) causality test is a modified Wald procedure for testing Granger causality in vector autoregressions (VARs) estimated in levels, even when variables are nonstationary or cointegrated. By intentionally over-fitting the VAR with extra lags equal to the maximum integration order, it restores the standard chi-squared asymptotic distribution of the Wald statistic without requiring prior unit-root or cointegration pretesting. |
| ScholarGateAndmestik ↗ |
|
|