השוואת שיטות
סקרו את השיטות שבחרתם זו לצד זו; שורות שבהן יש הבדל מודגשות.
| מבחן שורש יחידה בפאנל של פיליפס-פררון× | מבחן קואינטגרציה של פאנל אנגל-גריינג'ר× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1988 (original PP); panel adaptation widely established by 2003 | 1999 |
| הוגה השיטה≠ | Phillips & Perron (1988); panel extension by Im, Pesaran & Shin (2003) | Pedroni (1999), extending Engle & Granger (1987) |
| סוג≠ | Nonparametric unit root test | Cointegration test |
| מקור מכונן≠ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53-74. DOI ↗ | Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61(S1), 653-670. DOI ↗ |
| כינויים | Panel PP test, Phillips-Perron panel unit root, Im-Pesaran-Shin PP panel test, panel nonparametric unit root test | panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration |
| קשורות≠ | 6 | 5 |
| תקציר≠ | The Panel PP unit root test extends the nonparametric Phillips-Perron correction for serial correlation to a multi-individual panel setting. It tests the null hypothesis that all cross-sectional units contain a unit root, using a pooled or averaged PP-type statistic that is robust to heteroscedastic and serially correlated errors without requiring explicit lag selection. | The Panel Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure to panel data, allowing researchers to detect long-run equilibrium relationships among integrated variables across multiple cross-sectional units simultaneously. Pedroni (1999) developed panel statistics that pool information across units while allowing heterogeneous short-run dynamics and individual-specific intercepts and trends. |
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