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| Panel Granger-kauzalitási teszt× | Panel Vektor Hiba-Kiegyenlítő Modell (Panel VECM)× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 1988–2012 | 1987–1995 |
| Megalkotó≠ | Holtz-Eakin, Newey & Rosen (1988); Dumitrescu & Hurlin (2012) | Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension |
| Típus≠ | Causality test | Multivariate dynamic panel model |
| Alapmű≠ | Dumitrescu, E.-I., & Hurlin, C. (2012). Testing for Granger non-causality in heterogeneous panels. Economic Modelling, 29(4), 1450–1460. DOI ↗ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ |
| Alternatív nevek | panel causality test, Dumitrescu-Hurlin test, heterogeneous panel causality, panel Granger test | Panel VECM, panel vector error correction model, PVECM, panel cointegrating VAR |
| Kapcsolódó | 5 | 5 |
| Összefoglaló≠ | The Panel Granger Causality test examines whether past values of one variable help predict another variable across multiple cross-sectional units observed over time. It extends the classical Granger causality framework to panel data, accounting for cross-sectional heterogeneity and enabling more powerful inference by pooling information across units. | Panel VECM combines vector error correction modelling with panel data, simultaneously capturing the long-run cointegrating equilibrium among multiple I(1) variables and their short-run adjustment dynamics across multiple cross-sectional units. It is the standard framework when panel variables share at least one common stochastic trend. |
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