Módszerek összehasonlítása
Tekintse át a kiválasztott módszereket egymás mellett; az eltérő sorok kiemelve jelennek meg.
| Dinamikus Legkisebb Négyzetek (DOLS) becslő× | Panelointegrációs tesztek (Pedroni, Kao, Westerlund)× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 1993 | 2004 |
| Megalkotó≠ | Stock & Watson (1993); panel extension Kao & Chiang (2001) | Pedroni; Kao; Westerlund |
| Típus≠ | Cointegrating regression 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. DOI ↗ | 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 ↗ |
| Alternatív nevek≠ | DOLS, Stock-Watson dynamic OLS, dynamic least squares cointegration estimator, Dinamik OLS (DOLS) | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Kapcsolódó≠ | 5 | 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. | 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. |
| ScholarGateAdatkészlet ↗ |
|
|