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| Test granicowego modelu ARDL dla paneli× | Test kointegracji Panel Johansen× | |
|---|---|---|
| Dziedzina | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model |
| Rok powstania | 2001 | 2001 |
| Twórca≠ | Pesaran, Shin & Smith | Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991) |
| Typ≠ | Bounds test for cointegration | Panel cointegration test |
| Źródło pierwotne≠ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326. 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 ARDL, Panel bounds testing, Panel ARDL cointegration, Panel PSS bounds test | panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace test |
| Pokrewne≠ | 6 | 5 |
| Podsumowanie≠ | The Panel ARDL Bounds Test extends the Pesaran, Shin and Smith (2001) bounds testing procedure to panel data, allowing researchers to test for long-run cointegrating relationships between variables without requiring all series to be integrated of the same order. It is widely used in macro-panel studies where variables may be I(0), I(1), or a mixture of both. | 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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