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| 断面拡張ディッキー・フラー（CADF）検定× | 動的因子モデル× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統≠ | Hypothesis test | Regression model |
| 提唱年≠ | 2007 | 2002 |
| 提唱者≠ | M. Hashem Pesaran | James Stock & Mark Watson |
| 種類≠ | Panel unit-root test with cross-sectional augmentation | Latent-factor time-series model |
| 原典≠ | Pesaran, 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 ↗ | Stock, J. H., & Watson, M. W. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics, 20(2), 147–162. DOI ↗ |
| 別名 | Cross-Sectionally Augmented ADF, Panel CADF Test, Pesaran Panel Unit Root Test, CADF Birim Kök Testi | Diffusion Index Model, Large-Scale Factor Model, Approximate Factor Model, Dinamik Faktör Modeli |
| 関連≠ | 3 | 2 |
| 概要≠ | The 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. | A Dynamic Factor Model (DFM) extracts a small number of latent common factors from a large panel of economic time series and uses those factors to forecast or nowcast a target variable. Formalized for macroeconomic forecasting by James Stock and Mark Watson in their 2002 Journal of Business & Economic Statistics paper, DFMs handle hundreds of indicators simultaneously while avoiding the curse of dimensionality that plagues traditional multivariate models. |
| ScholarGateデータセット ↗ |
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