Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Оценка методом динамического обыкновенного наименьших квадратов (DOLS)× | 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≠ | 1993 | 2006 | 2004 |
| Автор метода≠ | Stock & Watson (1993); panel extension Kao & Chiang (2001) | M. Hashem Pesaran | Pedroni; Kao; Westerlund |
| Тип≠ | Cointegrating regression estimator | Heterogeneous panel estimator | Panel cointegration test |
| Основополагающий источник≠ | Stock, J. H. & Watson, M. W. (1993). A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems. Econometrica, 61(4), 783–820. DOI ↗ | 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≠ | DOLS, Stock-Watson dynamic OLS, dynamic least squares cointegration estimator, Dinamik OLS (DOLS) | common correlated effects, CCE, CCEMG, Pesaran CCE estimator | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Связанные≠ | 5 | 4 | 3 |
| Сводка≠ | Dynamic OLS is a cointegrating-regression estimator introduced by Stock and Watson (1993) that recovers the long-run relationship between I(1) variables. It augments the static regression with leads and lags of the differenced regressors, correcting endogeneity bias parametrically so that the long-run coefficient can be estimated by ordinary least squares. | 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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