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| Panelowy test pierwiastka jednostkowego ADF× | Test kointegracji Panel Johansen× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2002–2003 | 2001 |
| Twórca≠ | Im, Pesaran & Shin (2003); Levin, Lin & Chu (2002) | Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991) |
| Typ≠ | Unit root / stationarity test | Panel cointegration test |
| 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 ↗ | Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142. DOI ↗ |
| Inne nazwy | Panel ADF test, IPS test, Im-Pesaran-Shin test, panel unit root test | panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace 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 Panel Johansen cointegration test extends Johansen's maximum-likelihood framework to panel data, allowing researchers to test whether multiple non-stationary variables share long-run equilibrium relationships across cross-sectional units. It pools the likelihood-ratio statistics from individual Johansen tests and compares the standardised average against a standard normal distribution, yielding greater power than single-country approaches. |
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