Comparer des méthodes
Examinez les méthodes sélectionnées côte à côte ; les lignes qui diffèrent sont mises en évidence.
| DF-GLS pour données de panel× | Test de cointégration de Maki× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 1996 | 2012 |
| Auteur d'origine≠ | Elliott, Rothenberg, and Stock (adapted to panels) | Darshana Maki |
| Type≠ | Stationarity test | Structural-break test |
| Source fondatrice≠ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometric Reviews, 13(4), 469-497. DOI ↗ | Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29(5), 2011-2015. DOI ↗ |
| Alias | Panel unit-root test | Structural-break cointegration test |
| Apparentées | 3 | 3 |
| Résumé≠ | Panel DF-GLS extends the Elliott, Rothenberg, and Stock (1996) GLS unit-root test to panel data, combining cross-sectional and time-series information to test whether variables contain unit roots. Introduced by Hadri and colleagues (2005), it is more powerful than standard panel unit-root tests (IPS, LLC) due to its GLS detrending approach. This test is essential for establishing stationarity before fitting cointegration or dynamic panel models. | The Maki cointegration test extends cointegration testing to allow for an unknown number of endogenously-determined structural breaks in the cointegrating relationship. Introduced by Maki (2012), it builds on Gregory and Hansen (1996), enabling detection of cointegration even when relationships shift due to policy changes, institutional reforms, or fundamental regime shifts. This is essential for applied time-series work where structural change is common. |
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