Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Test des bornes ARDL (Test des bornes de Pesaran)× | Estimateur par Moindres Carrés Ordinaires Dynamiques (DOLS)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2001 | 1993 |
| Auteur d'origine≠ | Pesaran, Shin & Smith | Stock & Watson (1993); panel extension Kao & Chiang (2001) |
| Type≠ | Cointegration test / Autoregressive distributed lag model | Cointegrating regression estimator |
| Source fondatrice≠ | 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 ↗ | Stock, J. H. & Watson, M. W. (1993). A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems. Econometrica, 61(4), 783–820. DOI ↗ |
| Alias | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) | DOLS, Stock-Watson dynamic OLS, dynamic least squares cointegration estimator, Dinamik OLS (DOLS) |
| Apparentées≠ | 4 | 5 |
| Résumé≠ | 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. | 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. |
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