Vertaile menetelmiä

	Cross-sectionally Augmented Dickey-Fuller (CADF) -testi	Dynaaminen faktorisointimalli
Tieteenala	Ekonometria	Ekonometria
Menetelmäperhe	Hypothesis test	Regression model
Syntyvuosi	2007	2002
Kehittäjä	M. Hashem Pesaran	James Stock & Mark Watson
Tyyppi	Panel unit-root test with cross-sectional augmentation	Latent-factor time-series model
Alkuperäislähde	Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312.	Stock, J. H., & Watson, M. W. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics, 20(2), 147–162.
Rinnakkaisnimet	Cross-Sectionally Augmented ADF, Panel CADF Test, Pesaran Panel Unit Root Test, CADF Birim Kök Testi	Diffusion Index Model, Large-Scale Factor Model, Approximate Factor Model, Dinamik Faktör Modeli
Liittyvät	3	2
Tiivistelmä	The Cross-sectionally Augmented Dickey-Fuller (CADF) test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed to handle cross-sectional dependence among panel units. Unlike first-generation panel unit-root tests that assume cross-sectional independence, the CADF test augments individual ADF regressions with cross-sectional averages of lagged levels and first differences, making it suitable for macro-panels and cross-country studies where common factors drive co-movement.	A Dynamic Factor Model (DFM) extracts a small number of latent common factors from a large panel of economic time series and uses those factors to forecast or nowcast a target variable. Formalized for macroeconomic forecasting by James Stock and Mark Watson in their 2002 Journal of Business & Economic Statistics paper, DFMs handle hundreds of indicators simultaneously while avoiding the curse of dimensionality that plagues traditional multivariate models.