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| Panelowy test pierwiastka jednostkowego ADF× | Rozszerzony test pierwiastka jednostkowego Dickeya-Fullera (ADF)× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2002–2003 | 1979–1984 |
| Twórca≠ | Im, Pesaran & Shin (2003); Levin, Lin & Chu (2002) | Said & Dickey (1984); building on Dickey & Fuller (1979) |
| Typ≠ | Unit root / stationarity test | Hypothesis test (unit root) |
| Źródło pierwotne≠ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. DOI ↗ | Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599–607. DOI ↗ |
| Inne nazwy | Panel ADF test, IPS test, Im-Pesaran-Shin test, panel unit root test | ADF test, ADF unit root test, Dickey-Fuller test (augmented), Said-Dickey test |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | The Panel Augmented Dickey-Fuller (Panel ADF) unit root test extends the classical ADF framework to panel datasets. By pooling information across cross-sectional units it achieves substantially higher power than single-series ADF tests, allowing researchers to determine whether time-series variables are stationary or integrated of order one before modelling long-run relationships. | The Augmented Dickey-Fuller test is the standard procedure for determining whether a univariate time series contains a unit root — that is, whether the series is non-stationary. It extends the original Dickey-Fuller test by including lagged difference terms that absorb serial correlation in the residuals, making the test valid for a wide range of time-series processes encountered in economics and finance. |
| ScholarGateZbiór danych ↗ |
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