Vertaile menetelmiä
Tarkastele valitsemiasi menetelmiä rinnakkain; eroavat rivit korostetaan.
| Fully Modified OLS (FMOLS) -estimaattori× | ARDL-raja-testi (Pesaranin raja-testi)× | |
|---|---|---|
| Tieteenala | Ekonometria | Ekonometria |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 1990 | 2001 |
| Kehittäjä≠ | Phillips & Hansen (time series); Pedroni (heterogeneous panels) | Pesaran, Shin & Smith |
| Tyyppi≠ | Cointegrating regression estimator | Cointegration test / Autoregressive distributed lag model |
| Alkuperäislähde≠ | Phillips, P. C. B. & Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. Review of Economic Studies, 57(1), 99–125. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| Rinnakkaisnimet≠ | fully modified OLS, Phillips-Hansen FMOLS, Tam Düzeltilmiş OLS (FMOLS) | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Liittyvät≠ | 5 | 4 |
| Tiivistelmä≠ | Fully Modified OLS, introduced by Phillips and Hansen (1990), estimates the long-run coefficients of a cointegrating relationship among I(1) variables. It applies a semi-parametric correction to ordinary least squares to remove the bias that endogeneity and serial correlation otherwise induce in cointegrated time series or panel data. | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. |
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