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| Driscoll-Kraay標準誤差× | 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≠ | 1998 | 2021 |
| 提唱者≠ | John Driscoll & Aart Kraay | M. Hashem Pesaran |
| 種類≠ | Nonparametric heteroskedasticity- and autocorrelation-consistent (HAC) covariance estimator for panel data | Non-parametric diagnostic test |
| 原典≠ | Driscoll, J. C., & Kraay, A. C. (1998). Consistent covariance matrix estimation with spatially dependent panel data. Review of Economics and Statistics, 80(4), 549–560. DOI ↗ | Pesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60(1), 13–50. DOI ↗ |
| 別名 | DK Standard Errors, Driscoll-Kraay Covariance Estimator, Spatial-Temporal HAC Standard Errors, Driscoll-Kraay Standart Hatalar | CD Test, Cross-Sectional Dependence Test, Pesaran General CD Test, Kesitsel Bağımlılık Testi |
| 関連≠ | 2 | 3 |
| 概要≠ | Driscoll-Kraay standard errors provide a nonparametric, heteroskedasticity- and autocorrelation-consistent (HAC) covariance estimator for balanced and unbalanced panel datasets. Introduced by Driscoll and Kraay in 1998, the method corrects inference when residuals exhibit cross-sectional dependence, serial autocorrelation, and heteroskedasticity simultaneously—problems common in macroeconomic and international finance panels where units such as countries or industries share common shocks. | 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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