Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| Estimateur FMOLS (Fully Modified OLS)× | Estimateur des Effets Communs Corrélés du Groupe Moyen (CCEMG)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1990 | 2006 |
| Auteur d'origine≠ | Phillips & Hansen (time series); Pedroni (heterogeneous panels) | M. Hashem Pesaran |
| Type≠ | Cointegrating regression estimator | Heterogeneous panel estimator |
| Source fondatrice≠ | 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. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012. DOI ↗ |
| Alias≠ | fully modified OLS, Phillips-Hansen FMOLS, Tam Düzeltilmiş OLS (FMOLS) | common correlated effects, CCE, CCEMG, Pesaran CCE estimator |
| Apparentées≠ | 5 | 4 |
| Résumé≠ | 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 Common Correlated Effects Mean Group estimator, introduced by Pesaran in 2006, is a heterogeneous panel-data estimator that controls for cross-sectional dependence by approximating unobserved common factors with the cross-section averages of the variables. It remains consistent when the slope coefficients differ across units. |
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