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| Estymator dynamicznych zwykłych najmniejszych kwadratów (DOLS)× | Regresja metodą najmniejszych kwadratów (OLS)× | Testy kointegracji panelowej (Pedroni, Kao, Westerlund)× | |
|---|---|---|---|
| Dziedzina | Ekonometria | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model | Regression model |
| Rok powstania≠ | 1993 | 2019 | 2004 |
| Twórca≠ | Stock & Watson (1993); panel extension Kao & Chiang (2001) | Wooldridge (textbook treatment); classical least squares | Pedroni; Kao; Westerlund |
| Typ≠ | Cointegrating regression estimator | Linear regression | Panel cointegration test |
| Źródło pierwotne≠ | Stock, J. H. & Watson, M. W. (1993). A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems. Econometrica, 61(4), 783–820. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 | 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 ↗ |
| Inne nazwy≠ | DOLS, Stock-Watson dynamic OLS, dynamic least squares cointegration estimator, Dinamik OLS (DOLS) | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Pokrewne≠ | 5 | 5 | 3 |
| Podsumowanie≠ | Dynamic OLS is a cointegrating-regression estimator introduced by Stock and Watson (1993) that recovers the long-run relationship between I(1) variables. It augments the static regression with leads and lags of the differenced regressors, correcting endogeneity bias parametrically so that the long-run coefficient can be estimated by ordinary least squares. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). | 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. |
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