Módszerek összehasonlítása

	Newey-West HAC standard errorok	Pesaran CD Teszt: Keresztmetszeti függőség diagnosztikai eljárás paneladatokhoz
Tudományterület	Ökonometria	Ökonometria
Módszercsalád	Regression model	Hypothesis test
Keletkezés éve	1987	2021
Megalkotó	Whitney Newey & Kenneth West	M. Hashem Pesaran
Típus	Covariance matrix estimator	Non-parametric diagnostic test
Alapmű	Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708.	Pesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60(1), 13–50.
Alternatív nevek	HAC standard errors, Heteroskedasticity and Autocorrelation Consistent covariance, Bartlett kernel HAC estimator, HAC düzeltmeli standart hatalar	CD Test, Cross-Sectional Dependence Test, Pesaran General CD Test, Kesitsel Bağımlılık Testi
Kapcsolódó	1	3
Összefoglaló	Newey-West HAC standard errors, introduced by Whitney Newey and Kenneth West in 1987, provide a covariance matrix estimator for OLS regression that remains valid under both heteroskedasticity and serial autocorrelation of unknown form. They are the standard tool for correcting inference in time-series and panel regression when residuals are not i.i.d., requiring no specification of the error structure beyond choosing a bandwidth parameter.	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.