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Ujian Cross-sectionally Augmented Dickey-Fuller (CADF)×Ujian Unit-Root Panel Im-Pesaran-Shin (IPS)×Ujian PANIC: Analisis Punca Unit Panel dengan Penguraian Faktor Lazim×
BidangEkonometrikEkonometrikEkonometrik
KeluargaHypothesis testHypothesis testHypothesis test
Tahun asal200720032004
PengasasM. Hashem PesaranIm, Pesaran & ShinJushan Bai & Serena Ng
JenisPanel unit-root test with cross-sectional augmentationPanel unit-root test allowing cross-sectional heterogeneityPanel unit root test
Sumber perintisPesaran, 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 ↗Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127–1177. DOI ↗
AliasCross-Sectionally Augmented ADF, Panel CADF Test, Pesaran Panel Unit Root Test, CADF Birim Kök TestiIPS Test, IPS Panel Unit-Root Test, Heterogeneous Panel Unit-Root Test, Im-Pesaran-Shin Birim Kök TestiPanel Analysis of Non-stationarity in Idiosyncratic and Common Components, Bai-Ng PANIC Test, Second-Generation Panel Unit Root Test, Panel Birim Kök Testi (PANIC)
Berkaitan333
RingkasanThe 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.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.
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ScholarGateBandingkan kaedah: CADF Test · Im-Pesaran-Shin Test · PANIC. Dicapai 2026-06-19 daripada https://scholargate.app/ms/compare