Módszerek összehasonlítása

	Dinamikus Legkisebb Négyzetek (DOLS) becslő	CCEMG (Common Correlated Effects Mean Group) becslő	Panelointegrációs tesztek (Pedroni, Kao, Westerlund)
Tudományterület	Ökonometria	Ökonometria	Ökonometria
Módszercsalád	Regression model	Regression model	Regression model
Keletkezés éve	1993	2006	2004
Megalkotó	Stock & Watson (1993); panel extension Kao & Chiang (2001)	M. Hashem Pesaran	Pedroni; Kao; Westerlund
Típus	Cointegrating regression estimator	Heterogeneous panel estimator	Panel cointegration test
Alapmű	Stock, J. H. & Watson, M. W. (1993). A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems. Econometrica, 61(4), 783–820.	Pesaran, M. H. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012.	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.
Alternatív nevek	DOLS, Stock-Watson dynamic OLS, dynamic least squares cointegration estimator, Dinamik OLS (DOLS)	common correlated effects, CCE, CCEMG, Pesaran CCE estimator	Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests
Kapcsolódó	5	4	3
Összefoglaló	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 Common Correlated Effects Mean Group estimator, introduced by Pesaran in 2006, is a heterogeneous panel-data estimator that controls for cross-sectional dependence by approximating unobserved common factors with the cross-section averages of the variables. It remains consistent when the slope coefficients differ across units.	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.