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。
| フィッシャーパネル単位根検定× | 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≠ | 1999 | 2003 |
| 提唱者≠ | G. S. Maddala & Shaowen Wu | Im, Pesaran & Shin |
| 種類≠ | Nonparametric combination-of-p-values panel unit-root test | Panel unit-root test allowing cross-sectional heterogeneity |
| 原典≠ | Maddala, G. S., & Wu, S. (1999). A comparative study of unit root tests with panel data and a new simple test. Oxford Bulletin of Economics and Statistics, 61(S1), 631–652. 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 | Maddala-Wu Test, Fisher-type Panel Unit-Root Test, MW Panel Unit-Root Test, Fisher Panel 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 Fisher-type (Maddala-Wu) panel unit-root test, introduced in 1999, combines individual-level ADF unit-root p-values using Fisher's chi-squared meta-analytic framework to produce a single panel-level test statistic. Unlike the Levin-Lin-Chu approach, it does not impose a common autoregressive parameter across cross-sections, making it a natural choice for heterogeneous panels in macroeconomics, finance, and regional economics. | 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 ↗ |
|
|