手法を比較
選択した手法を並べて確認できます。異なる行はハイライト表示されます。
| CIPS検定× | Im-Pesaran-Shin (IPS) 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≠ | 2007 | 2003 |
| 提唱者≠ | M. Hashem Pesaran | Im, Pesaran & Shin |
| 種類≠ | Panel unit-root test with cross-section dependence | Panel unit-root test allowing cross-sectional heterogeneity |
| 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 ↗ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. DOI ↗ |
| 別名 | Pesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök Testi | IPS Test, IPS Panel Unit-Root Test, Heterogeneous Panel Unit-Root Test, Im-Pesaran-Shin Birim Kök Testi |
| 関連 | 3 | 3 |
| 概要≠ | The CIPS test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed for panels in which the cross-sectional units share unobserved common factors that induce cross-section dependence. By augmenting each individual ADF regression with cross-sectional averages and their lags, the CIPS test accounts for this dependence and produces reliable inference where first-generation tests such as the original IPS test break down. It is widely applied in macroeconomic and finance panels where shocks propagate across countries or regions. | 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. |
| ScholarGateデータセット ↗ |
|
|