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| Estinator dinamičkih običnih najmanjih kvadrata (DOLS)× | Prošireni procjenitelj srednje skupine (AMG)× | Panel Cointegration Tests (Pedroni, Kao, Westerlund)× | |
|---|---|---|---|
| Područje | Ekonometrija | Ekonometrija | Ekonometrija |
| Obitelj | Regression model | Regression model | Regression model |
| Godina nastanka≠ | 1993 | 2010 | 2004 |
| Tvorac≠ | Stock & Watson (1993); panel extension Kao & Chiang (2001) | Eberhardt & Teal; Bond & Eberhardt | Pedroni; Kao; Westerlund |
| Vrsta≠ | Cointegrating regression estimator | Heterogeneous panel data estimator | Panel cointegration test |
| Temeljni izvor≠ | Stock, J. H. & Watson, M. W. (1993). A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems. Econometrica, 61(4), 783–820. DOI ↗ | Eberhardt, M. & Teal, F. (2010). Productivity Analysis in Global Manufacturing Production. Economics Series Working Papers, No. 515, University of Oxford. link ↗ | Pedroni, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis. Econometric Theory, 20(3), 597–625. DOI ↗ |
| Drugi nazivi≠ | DOLS, Stock-Watson dynamic OLS, dynamic least squares cointegration estimator, Dinamik OLS (DOLS) | AMG estimator, augmented mean group, Artırılmış Ortalama Grup Tahmincisi (AMG) | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Srodne≠ | 5 | 4 | 3 |
| Sažetak≠ | Dynamic OLS is a cointegrating-regression estimator introduced by Stock and Watson (1993) that recovers the long-run relationship between I(1) variables. It augments the static regression with leads and lags of the differenced regressors, correcting endogeneity bias parametrically so that the long-run coefficient can be estimated by ordinary least squares. | The Augmented Mean Group estimator, developed by Eberhardt and Teal (2010), is a panel data method for estimating heterogeneous slope coefficients in the presence of cross-sectional dependence. It approximates the unobserved common dynamic process driving all units and folds it into unit-by-unit regressions, then averages the results. | Panel cointegration tests check whether a set of integrated variables share a stable long-run equilibrium relationship across a panel of cross-sectional units. Pedroni (1999, 2004) provides heterogeneous-panel tests with seven statistics, Kao (1999) gives an ADF-based homogeneous-panel test, and Westerlund (2007) adds error-correction-based tests robust to structural breaks and cross-sectional dependence. |
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