Methoden vergelijken
Bekijk de geselecteerde methoden naast elkaar; rijen die verschillen zijn gemarkeerd.
| CIPS Test× | Im-Pesaran-Shin (IPS) Panel Unit-Root Test× | PANIC Test: Panel Unit Root Analysis met Gemeenschappelijke Factor Ontbinding× | |
|---|---|---|---|
| Vakgebied | Econometrie | Econometrie | Econometrie |
| Familie | Hypothesis test | Hypothesis test | Hypothesis test |
| Jaar van ontstaan≠ | 2007 | 2003 | 2004 |
| Grondlegger≠ | M. Hashem Pesaran | Im, Pesaran & Shin | Jushan Bai & Serena Ng |
| Type≠ | Panel unit-root test with cross-section dependence | Panel unit-root test allowing cross-sectional heterogeneity | Panel unit root test |
| Oorspronkelijke bron≠ | 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 ↗ | Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127–1177. DOI ↗ |
| Aliassen | Pesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök Testi | IPS Test, IPS Panel Unit-Root Test, Heterogeneous Panel Unit-Root Test, Im-Pesaran-Shin Birim Kök Testi | Panel Analysis of Non-stationarity in Idiosyncratic and Common Components, Bai-Ng PANIC Test, Second-Generation Panel Unit Root Test, Panel Birim Kök Testi (PANIC) |
| Verwant | 3 | 3 | 3 |
| Samenvatting≠ | 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. | 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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