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Test di Dickey-Fuller Aumentato con Sezione Incrociata (CADF)×Test di radice unitaria per pannelli Im-Pesaran-Shin (IPS)×
CampoEconometriaEconometria
FamigliaHypothesis testHypothesis test
Anno di origine20072003
IdeatoreM. Hashem PesaranIm, Pesaran & Shin
TipoPanel unit-root test with cross-sectional augmentationPanel unit-root test allowing cross-sectional heterogeneity
Fonte seminalePesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312. DOI ↗Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. DOI ↗
AliasCross-Sectionally Augmented ADF, Panel CADF Test, Pesaran Panel Unit Root Test, CADF Birim Kök TestiIPS Test, IPS Panel Unit-Root Test, Heterogeneous Panel Unit-Root Test, Im-Pesaran-Shin Birim Kök Testi
Correlati33
SintesiThe Cross-sectionally Augmented Dickey-Fuller (CADF) test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed to handle cross-sectional dependence among panel units. Unlike first-generation panel unit-root tests that assume cross-sectional independence, the CADF test augments individual ADF regressions with cross-sectional averages of lagged levels and first differences, making it suitable for macro-panels and cross-country studies where common factors drive co-movement.The Im-Pesaran-Shin (IPS) test, introduced by Im, Pesaran, and Shin in 2003, is a panel unit-root test designed for heterogeneous panels where the autoregressive coefficient is allowed to differ across cross-sectional units. It averages individual Augmented Dickey-Fuller (ADF) t-statistics and constructs a standardized statistic with a standard normal limiting distribution, making it one of the most widely applied first-generation panel unit-root tests in applied econometrics.
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ScholarGateConfronta i metodi: CADF Test · Im-Pesaran-Shin Test. Consultato il 2026-06-19 da https://scholargate.app/it/compare