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| Test di Cointegrazione di Panel (Pedroni, Kao, Westerlund)× | Stimatore Augmented Mean Group (AMG)× | |
|---|---|---|
| Campo | Econometria | Econometria |
| Famiglia | Regression model | Regression model |
| Anno di origine≠ | 2004 | 2010 |
| Ideatore≠ | Pedroni; Kao; Westerlund | Eberhardt & Teal; Bond & Eberhardt |
| Tipo≠ | Panel cointegration test | Heterogeneous panel data estimator |
| Fonte seminale≠ | 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 ↗ | Eberhardt, M. & Teal, F. (2010). Productivity Analysis in Global Manufacturing Production. Economics Series Working Papers, No. 515, University of Oxford. link ↗ |
| Alias≠ | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests | AMG estimator, augmented mean group, Artırılmış Ortalama Grup Tahmincisi (AMG) |
| Correlati≠ | 3 | 4 |
| Sintesi≠ | 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. | The Augmented Mean Group estimator, developed by Eberhardt and Teal (2010), is a panel data method for estimating heterogeneous slope coefficients in the presence of cross-sectional dependence. It approximates the unobserved common dynamic process driving all units and folds it into unit-by-unit regressions, then averages the results. |
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