Vertaile menetelmiä
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| Paneeli-Engle-Granger-kointegraatiotesti× | Paneeli-ARDL-rajatesti× | |
|---|---|---|
| Tieteenala | Ekonometria | Ekonometria |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 1999 | 2001 |
| Kehittäjä≠ | Pedroni (1999), extending Engle & Granger (1987) | Pesaran, Shin & Smith |
| Tyyppi≠ | Cointegration test | Bounds test for cointegration |
| Alkuperäislähde≠ | Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61(S1), 653-670. 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 | panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration | Panel ARDL, Panel bounds testing, Panel ARDL cointegration, Panel PSS bounds test |
| Liittyvät≠ | 5 | 6 |
| Tiivistelmä≠ | The Panel Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure to panel data, allowing researchers to detect long-run equilibrium relationships among integrated variables across multiple cross-sectional units simultaneously. Pedroni (1999) developed panel statistics that pool information across units while allowing heterogeneous short-run dynamics and individual-specific intercepts and trends. | The Panel ARDL Bounds Test extends the Pesaran, Shin and Smith (2001) bounds testing procedure to panel data, allowing researchers to test for long-run cointegrating relationships between variables without requiring all series to be integrated of the same order. It is widely used in macro-panel studies where variables may be I(0), I(1), or a mixture of both. |
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