Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Оценщик Augmented Mean Group (AMG)× | Оценщик с усреднением по группам при общих коррелированных эффектах (CCEMG)× | Тесты на коинтеграцию в панельных данных (Педрони, Као, Вестерлунд)× | |
|---|---|---|---|
| Область | Эконометрика | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model | Regression model |
| Год появления≠ | 2010 | 2006 | 2004 |
| Автор метода≠ | Eberhardt & Teal; Bond & Eberhardt | M. Hashem Pesaran | Pedroni; Kao; Westerlund |
| Тип≠ | Heterogeneous panel data estimator | Heterogeneous panel estimator | Panel cointegration test |
| Основополагающий источник≠ | Eberhardt, M. & Teal, F. (2010). Productivity Analysis in Global Manufacturing Production. Economics Series Working Papers, No. 515, University of Oxford. link ↗ | Pesaran, M. H. (2006). Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure. Econometrica, 74(4), 967-1012. DOI ↗ | 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 ↗ |
| Другие названия≠ | AMG estimator, augmented mean group, Artırılmış Ortalama Grup Tahmincisi (AMG) | common correlated effects, CCE, CCEMG, Pesaran CCE estimator | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Связанные≠ | 4 | 4 | 3 |
| Сводка≠ | The Augmented Mean Group estimator, developed by Eberhardt and Teal (2010), is a panel data method for estimating heterogeneous slope coefficients in the presence of cross-sectional dependence. It approximates the unobserved common dynamic process driving all units and folds it into unit-by-unit regressions, then averages the results. | The Common Correlated Effects Mean Group estimator, introduced by Pesaran in 2006, is a heterogeneous panel-data estimator that controls for cross-sectional dependence by approximating unobserved common factors with the cross-section averages of the variables. It remains consistent when the slope coefficients differ across units. | 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. |
| ScholarGateНабор данных ↗ |
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