השוואת שיטות
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| מבחן סיבתיות גריינג'ר× | מבחן Pesaran CD: אבחון תלות חתך-ממדי עבור נתוני פאנל× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה≠ | Regression model | Hypothesis test |
| שנת המקור≠ | 1969 | 2021 |
| הוגה השיטה≠ | Clive W. J. Granger | M. Hashem Pesaran |
| סוג≠ | Time-series predictive causality test | Non-parametric diagnostic test |
| מקור מכונן≠ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗ | Pesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60(1), 13–50. DOI ↗ |
| כינויים | Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi | CD Test, Cross-Sectional Dependence Test, Pesaran General CD Test, Kesitsel Bağımlılık Testi |
| קשורות≠ | 5 | 3 |
| תקציר≠ | The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause. | The Pesaran CD test is a general diagnostic procedure for detecting cross-sectional dependence in panel data models. Developed by M. Hashem Pesaran (2021), it is applicable to both balanced and unbalanced panels with large N and T, and retains validity under heterogeneous slope coefficients. The test is widely adopted in empirical economics, finance, and political economy as a prerequisite check before selecting appropriate estimators or unit-root tests for panel datasets. |
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