Comparar métodos
Examine os métodos selecionados lado a lado; as linhas que diferem ficam destacadas.
| Painel DF-GLS× | Teste Panel KSS× | |
|---|---|---|
| Área | Econometria | Econometria |
| Família | Regression model | Regression model |
| Ano de origem≠ | 1996 | 1992 |
| Autor original≠ | Elliott, Rothenberg, and Stock (adapted to panels) | Kwiatkowski, Phillips, Schmidt, and Shin (panel version by Hadri) |
| Tipo≠ | Stationarity test | Unit-root test |
| Fonte seminal≠ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometric Reviews, 13(4), 469-497. DOI ↗ | Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1-3), 159-178. DOI ↗ |
| Outros nomes | Panel unit-root test | Panel stationarity test |
| Relacionados | 3 | 3 |
| Resumo≠ | Panel DF-GLS extends the Elliott, Rothenberg, and Stock (1996) GLS unit-root test to panel data, combining cross-sectional and time-series information to test whether variables contain unit roots. Introduced by Hadri and colleagues (2005), it is more powerful than standard panel unit-root tests (IPS, LLC) due to its GLS detrending approach. This test is essential for establishing stationarity before fitting cointegration or dynamic panel models. | The Panel KSS test reverses the null hypothesis of unit-root tests: it tests whether variables are stationary (stationarity is the null) versus nonstationary (unit root is the alternative). Introduced by Kwiatkowski et al. (1992) and extended to panels by Hadri (2000), this complementary approach provides robustness when combined with unit-root tests like Panel DF-GLS. Using both tests together reduces the risk of erroneous conclusions about variable persistence. |
| ScholarGateConjunto de dados ↗ |
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