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| 拡張ディッキー・フラー（ADF）単位根検定× | Pesaran CD検定：パネルデータの横断的依存性診断× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統≠ | Regression model | Hypothesis test |
| 提唱年≠ | 1979 | 2021 |
| 提唱者≠ | David A. Dickey & Wayne A. Fuller | M. Hashem Pesaran |
| 種類≠ | Unit-root test for stationarity | Non-parametric diagnostic test |
| 原典≠ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ | Pesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60(1), 13–50. DOI ↗ |
| 別名 | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi | CD Test, Cross-Sectional Dependence Test, Pesaran General CD Test, Kesitsel Bağımlılık Testi |
| 関連≠ | 4 | 3 |
| 概要≠ | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. | 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. |
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