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| A keresztmetszetileg Bővített Dickey-Fuller (CADF) teszt× | Pesaran CD Teszt: Keresztmetszeti függőség diagnosztikai eljárás paneladatokhoz× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Hypothesis test | Hypothesis test |
| Keletkezés éve≠ | 2007 | 2021 |
| Megalkotó | M. Hashem Pesaran | M. Hashem Pesaran |
| Típus≠ | Panel unit-root test with cross-sectional augmentation | Non-parametric diagnostic test |
| Alapmű≠ | Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312. DOI ↗ | Pesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60(1), 13–50. DOI ↗ |
| Alternatív nevek | Cross-Sectionally Augmented ADF, Panel CADF Test, Pesaran Panel Unit Root Test, CADF Birim Kök Testi | CD Test, Cross-Sectional Dependence Test, Pesaran General CD Test, Kesitsel Bağımlılık Testi |
| Kapcsolódó | 3 | 3 |
| Összefoglaló≠ | The Cross-sectionally Augmented Dickey-Fuller (CADF) test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed to handle cross-sectional dependence among panel units. Unlike first-generation panel unit-root tests that assume cross-sectional independence, the CADF test augments individual ADF regressions with cross-sectional averages of lagged levels and first differences, making it suitable for macro-panels and cross-country studies where common factors drive co-movement. | 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. |
| ScholarGateAdatkészlet ↗ |
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