手法を比較

	PANIC検定：共通因子分解を伴うパネル単位根検定	断面拡張ディッキー・フラー（CADF）検定	CIPS検定
分野	計量経済学	計量経済学	計量経済学
系統	Hypothesis test	Hypothesis test	Hypothesis test
提唱年	2004	2007	2007
提唱者	Jushan Bai & Serena Ng	M. Hashem Pesaran	M. Hashem Pesaran
種類	Panel unit root test	Panel unit-root test with cross-sectional augmentation	Panel unit-root test with cross-section dependence
原典	Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127–1177.	Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312.	Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312.
別名	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)	Cross-Sectionally Augmented ADF, Panel CADF Test, Pesaran Panel Unit Root Test, CADF Birim Kök Testi	Pesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök Testi
関連	3	3	3
概要	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.	The Cross-sectionally Augmented Dickey-Fuller (CADF) test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed to handle cross-sectional dependence among panel units. Unlike first-generation panel unit-root tests that assume cross-sectional independence, the CADF test augments individual ADF regressions with cross-sectional averages of lagged levels and first differences, making it suitable for macro-panels and cross-country studies where common factors drive co-movement.	The CIPS test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed for panels in which the cross-sectional units share unobserved common factors that induce cross-section dependence. By augmenting each individual ADF regression with cross-sectional averages and their lags, the CIPS test accounts for this dependence and produces reliable inference where first-generation tests such as the original IPS test break down. It is widely applied in macroeconomic and finance panels where shocks propagate across countries or regions.