Salīdzināt metodes
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| Newey-West HAC standart kļūdas× | Pesaran CD Test× | |
|---|---|---|
| Nozare | Ekonometrija | Ekonometrija |
| Saime≠ | Regression model | Hypothesis test |
| Izcelsmes gads≠ | 1987 | 2021 |
| Autors≠ | Whitney Newey & Kenneth West | M. Hashem Pesaran |
| Tips≠ | Covariance matrix estimator | Non-parametric diagnostic test |
| Pirmavots≠ | Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. DOI ↗ | Pesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60(1), 13–50. DOI ↗ |
| Citi nosaukumi | HAC standard errors, Heteroskedasticity and Autocorrelation Consistent covariance, Bartlett kernel HAC estimator, HAC düzeltmeli standart hatalar | CD Test, Cross-Sectional Dependence Test, Pesaran General CD Test, Kesitsel Bağımlılık Testi |
| Saistītās≠ | 1 | 3 |
| Kopsavilkums≠ | Newey-West HAC standard errors, introduced by Whitney Newey and Kenneth West in 1987, provide a covariance matrix estimator for OLS regression that remains valid under both heteroskedasticity and serial autocorrelation of unknown form. They are the standard tool for correcting inference in time-series and panel regression when residuals are not i.i.d., requiring no specification of the error structure beyond choosing a bandwidth parameter. | 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. |
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