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| Panel Toda-Yamamoto kauzalitási teszt× | Panel Johansen Kointegrációs Teszt× | |
|---|---|---|
| Tudományterület | Ökonometria | Ökonometria |
| Módszercsalád | Regression model | Regression model |
| Keletkezés éve≠ | 1995 (panel extension from 2006) | 2001 |
| Megalkotó≠ | Toda & Yamamoto (1995); extended to panel settings by Konya (2006) and others | Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991) |
| Típus≠ | Causality test (non-causality hypothesis) | Panel cointegration test |
| Alapmű≠ | Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1-2), 225-250. DOI ↗ | Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142. DOI ↗ |
| Alternatív nevek | Panel TY causality test, Toda-Yamamoto panel causality, panel modified Wald causality test, panel MWALD causality | panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace test |
| Kapcsolódó | 5 | 5 |
| Összefoglaló≠ | The Panel Toda-Yamamoto (PTY) causality test extends the Toda-Yamamoto modified Wald approach to panel data, allowing researchers to test Granger non-causality across multiple cross-sectional units without requiring pre-testing for cointegration or imposing a common causality direction on all units. | The Panel Johansen cointegration test extends Johansen's maximum-likelihood framework to panel data, allowing researchers to test whether multiple non-stationary variables share long-run equilibrium relationships across cross-sectional units. It pools the likelihood-ratio statistics from individual Johansen tests and compares the standardised average against a standard normal distribution, yielding greater power than single-country approaches. |
| ScholarGateAdatkészlet ↗ |
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