השוואת שיטות
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| מודל וקטור תיקון שגיאה בפאנל (Panel VECM)× | מבחן קואינטגרציה של פאנל אנגל-גריינג'ר× | |
|---|---|---|
| תחום | אקונומטריקה | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1987–1995 | 1999 |
| הוגה השיטה≠ | Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension | Pedroni (1999), extending Engle & Granger (1987) |
| סוג≠ | Multivariate dynamic panel model | Cointegration test |
| מקור מכונן≠ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. 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 VECM, panel vector error correction model, PVECM, panel cointegrating VAR | panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration |
| קשורות | 5 | 5 |
| תקציר≠ | 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. | 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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