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| パネルADF単位根検定× | パネルPhillips-Perron単位根検定× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 2002–2003 | 1988 (original PP); panel adaptation widely established by 2003 |
| 提唱者≠ | Im, Pesaran & Shin (2003); Levin, Lin & Chu (2002) | Phillips & Perron (1988); panel extension by Im, Pesaran & Shin (2003) |
| 種類≠ | Unit root / stationarity test | Nonparametric 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 ↗ | 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 | Panel ADF test, IPS test, Im-Pesaran-Shin test, panel unit root test | Panel PP test, Phillips-Perron panel unit root, Im-Pesaran-Shin PP panel test, panel nonparametric unit root test |
| 関連 | 6 | 6 |
| 概要≠ | The Panel Augmented Dickey-Fuller (Panel ADF) unit root test extends the classical ADF framework to panel datasets. By pooling information across cross-sectional units it achieves substantially higher power than single-series ADF tests, allowing researchers to determine whether time-series variables are stationary or integrated of order one before modelling long-run relationships. | The Panel PP unit root test extends the nonparametric Phillips-Perron correction for serial correlation to a multi-individual panel setting. It tests the null hypothesis that all cross-sectional units contain a unit root, using a pooled or averaged PP-type statistic that is robust to heteroscedastic and serially correlated errors without requiring explicit lag selection. |
| ScholarGateデータセット ↗ |
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