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| Breitungパネル単位根検定× | Levin-Lin-Chu (LLC) パネル単位根検定× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Hypothesis test | Hypothesis test |
| 提唱年≠ | 2000 | 2002 |
| 提唱者≠ | Jörg Breitung | Andrew Levin, Chien-Fu Lin & Chia-Shang Chu |
| 種類≠ | Nonparametric panel unit-root test | Panel unit-root test (homogeneous alternative) |
| 原典≠ | Breitung, J. (2000). The local power of some unit root tests for panel data. Advances in Econometrics, 15, 161–177. DOI ↗ | Levin, A., Lin, C.-F., & Chu, C.-S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics, 108(1), 1–24. DOI ↗ |
| 別名 | Breitung Panel Unit-Root Test, Breitung (2000) Test, Breitung Nonparametric Panel Unit-Root Test, Breitung Panel Birim Kök Testi | LLC Test, Panel Unit-Root Test (Homogeneous), Levin-Lin Unit-Root Test, Panel Birim Kök Testi (LLC) |
| 関連 | 3 | 3 |
| 概要≠ | The Breitung test, introduced by Jörg Breitung in 2000, is a nonparametric panel unit-root test designed to assess whether all cross-sectional units in a balanced panel share a common unit root. Unlike competing first-generation tests, it avoids bias-correction terms that depend on lag selection or kernel bandwidth estimation, thereby preserving local power under a homogeneous alternative. It is widely used in macroeconometrics and finance when the researcher suspects cross-sectional homogeneity in the autoregressive structure. | The Levin-Lin-Chu (LLC) test, introduced by Levin, Lin, and Chu (2002), is a first-generation panel unit-root test that pools cross-sectional information to test whether all units in a panel share a common autoregressive unit root. It is widely used in applied economics and finance when researchers work with balanced or near-balanced panels and require a powerful test against a homogeneous stationary alternative. |
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