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| Pesaran CD検定：パネルデータの横断的依存性診断× | CIPS検定× | |
|---|---|---|
| 分野 | 計量経済学 | 計量経済学 |
| 系統 | Hypothesis test | Hypothesis test |
| 提唱年≠ | 2021 | 2007 |
| 提唱者 | M. Hashem Pesaran | M. Hashem Pesaran |
| 種類≠ | Non-parametric diagnostic test | Panel unit-root test with cross-section dependence |
| 原典≠ | Pesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60(1), 13–50. DOI ↗ | 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. DOI ↗ |
| 別名 | CD Test, Cross-Sectional Dependence Test, Pesaran General CD Test, Kesitsel Bağımlılık Testi | Pesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök Testi |
| 関連 | 3 | 3 |
| 概要≠ | The Pesaran CD test is a general diagnostic procedure for detecting cross-sectional dependence in panel data models. Developed by M. Hashem Pesaran (2021), it is applicable to both balanced and unbalanced panels with large N and T, and retains validity under heterogeneous slope coefficients. The test is widely adopted in empirical economics, finance, and political economy as a prerequisite check before selecting appropriate estimators or unit-root tests for panel datasets. | 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. |
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