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| Test de cointégration de Johansen sur données de panel× | Modèle à Correction d'Erreur Vectoriel sur Données de Panel (Panel VECM)× | |
|---|---|---|
| Domaine | Économétrie | Économétrie |
| Famille | Regression model | Regression model |
| Année d'origine≠ | 2001 | 1987–1995 |
| Auteur d'origine≠ | Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991) | Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension |
| Type≠ | Panel cointegration test | Multivariate dynamic panel model |
| Source fondatrice≠ | Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Alias | panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace test | Panel VECM, panel vector error correction model, PVECM, panel cointegrating VAR |
| Apparentées | 5 | 5 |
| Résumé≠ | The Panel Johansen cointegration test extends Johansen's maximum-likelihood framework to panel data, allowing researchers to test whether multiple non-stationary variables share long-run equilibrium relationships across cross-sectional units. It pools the likelihood-ratio statistics from individual Johansen tests and compares the standardised average against a standard normal distribution, yielding greater power than single-country approaches. | Panel VECM combines vector error correction modelling with panel data, simultaneously capturing the long-run cointegrating equilibrium among multiple I(1) variables and their short-run adjustment dynamics across multiple cross-sectional units. It is the standard framework when panel variables share at least one common stochastic trend. |
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