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。
| Im-Pesaran-Shin (IPS) パネル単位根検定× | PANIC検定：共通因子分解を伴うパネル単位根検定× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Hypothesis test | Hypothesis test |
| 提唱年≠ | 2003 | 2004 |
| 提唱者≠ | Im, Pesaran & Shin | Jushan Bai & Serena Ng |
| 種類≠ | Panel unit-root test allowing cross-sectional heterogeneity | Panel unit root test |
| 原典≠ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. DOI ↗ | Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127–1177. DOI ↗ |
| 別名 | IPS Test, IPS Panel Unit-Root Test, Heterogeneous Panel Unit-Root Test, Im-Pesaran-Shin Birim Kök Testi | Panel Analysis of Non-stationarity in Idiosyncratic and Common Components, Bai-Ng PANIC Test, Second-Generation Panel Unit Root Test, Panel Birim Kök Testi (PANIC) |
| 関連 | 3 | 3 |
| 概要≠ | 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. | PANIC (Panel Analysis of Non-stationarity in Idiosyncratic and Common Components) is a second-generation panel unit root test introduced by Bai and Ng (2004). It decomposes each panel series into common factors and idiosyncratic components, then tests for unit roots in each part separately, making it robust to cross-sectional dependence — a critical limitation of first-generation tests such as IPS or LLC. |
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