방법 비교
선택한 방법을 나란히 검토하세요. 서로 다른 행은 강조 표시됩니다.
| 교차-단면 증강 디키-풀러 (CADF) 검정× | Im-Pesaran-Shin (IPS) 패널 단위근 검정× | |
|---|---|---|
| 분야 | 계량경제학 | 계량경제학 |
| 계열 | Hypothesis test | Hypothesis test |
| 기원 연도≠ | 2007 | 2003 |
| 창시자≠ | M. Hashem Pesaran | Im, Pesaran & Shin |
| 유형≠ | Panel unit-root test with cross-sectional augmentation | Panel unit-root test allowing cross-sectional heterogeneity |
| 원전≠ | 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 ↗ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. DOI ↗ |
| 별칭 | Cross-Sectionally Augmented ADF, Panel CADF Test, Pesaran Panel Unit Root Test, CADF Birim Kök Testi | IPS Test, IPS Panel Unit-Root Test, Heterogeneous Panel Unit-Root Test, Im-Pesaran-Shin Birim Kök Testi |
| 관련 | 3 | 3 |
| 요약≠ | 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 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. |
| ScholarGate데이터셋 ↗ |
|
|