Salīdzināt metodes
Apskatiet izvēlētās metodes blakus; rindas, kas atšķiras, ir izceltas.
| Kopējo saistīto efektu vidējās grupas (CCEMG) novērtētājs× | Paneļa kointegrācijas testi (Pedroni, Kao, Westerlund)× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime | Regression model | Regression model |
| Izcelsmes gads≠ | 2006 | 2004 |
| Autors≠ | M. Hashem Pesaran | Pedroni; Kao; Westerlund |
| Tips≠ | Heterogeneous panel estimator | Panel cointegration test |
| Pirmavots≠ | Pesaran, M. H. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012. DOI ↗ | Pedroni, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis. Econometric Theory, 20(3), 597–625. DOI ↗ |
| Citi nosaukumi | common correlated effects, CCE, CCEMG, Pesaran CCE estimator | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Saistītās≠ | 4 | 3 |
| Kopsavilkums≠ | The Common Correlated Effects Mean Group estimator, introduced by Pesaran in 2006, is a heterogeneous panel-data estimator that controls for cross-sectional dependence by approximating unobserved common factors with the cross-section averages of the variables. It remains consistent when the slope coefficients differ across units. | Panel cointegration tests check whether a set of integrated variables share a stable long-run equilibrium relationship across a panel of cross-sectional units. Pedroni (1999, 2004) provides heterogeneous-panel tests with seven statistics, Kao (1999) gives an ADF-based homogeneous-panel test, and Westerlund (2007) adds error-correction-based tests robust to structural breaks and cross-sectional dependence. |
| ScholarGateDatu kopa ↗ |
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