手法を比較

	修正済みOLS（FMOLS）推定量	Common Correlated Effects Mean Group (CCEMG) 推定手法	Dynamic Ordinary Least Squares (DOLS) 推定器
分野	計量経済学	計量経済学	計量経済学
系統	Regression model	Regression model	Regression model
提唱年	1990	2006	1993
提唱者	Phillips & Hansen (time series); Pedroni (heterogeneous panels)	M. Hashem Pesaran	Stock & Watson (1993); panel extension Kao & Chiang (2001)
種類	Cointegrating regression estimator	Heterogeneous panel estimator	Cointegrating regression estimator
原典	Phillips, P. C. B. & Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. Review of Economic Studies, 57(1), 99–125.	Pesaran, M. H. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012.	Stock, J. H. & Watson, M. W. (1993). A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems. Econometrica, 61(4), 783–820.
別名	fully modified OLS, Phillips-Hansen FMOLS, Tam Düzeltilmiş OLS (FMOLS)	common correlated effects, CCE, CCEMG, Pesaran CCE estimator	DOLS, Stock-Watson dynamic OLS, dynamic least squares cointegration estimator, Dinamik OLS (DOLS)
関連	5	4	5
概要	Fully Modified OLS, introduced by Phillips and Hansen (1990), estimates the long-run coefficients of a cointegrating relationship among I(1) variables. It applies a semi-parametric correction to ordinary least squares to remove the bias that endogeneity and serial correlation otherwise induce in cointegrated time series or panel data.	The Common Correlated Effects Mean Group estimator, introduced by Pesaran in 2006, is a heterogeneous panel-data estimator that controls for cross-sectional dependence by approximating unobserved common factors with the cross-section averages of the variables. It remains consistent when the slope coefficients differ across units.	Dynamic OLS is a cointegrating-regression estimator introduced by Stock and Watson (1993) that recovers the long-run relationship between I(1) variables. It augments the static regression with leads and lags of the differenced regressors, correcting endogeneity bias parametrically so that the long-run coefficient can be estimated by ordinary least squares.