Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Оценка методом полностью модифицированных наименьших квадратов (FMOLS)× | Тесты на коинтеграцию в панельных данных (Педрони, Као, Вестерлунд)× | Модель с фиксированными эффектами для панельных данных× | |
|---|---|---|---|
| Область | Эконометрика | Эконометрика | Эконометрика |
| Семейство | Regression model | Regression model | Regression model |
| Год появления≠ | 1990 | 2004 | 2014 |
| Автор метода≠ | Phillips & Hansen (time series); Pedroni (heterogeneous panels) | Pedroni; Kao; Westerlund | Hsiao (textbook treatment); within transformation of panel data |
| Тип≠ | Cointegrating regression estimator | Panel cointegration test | Panel data regression |
| Основополагающий источник≠ | Phillips, P. C. B. & Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. Review of Economic Studies, 57(1), 99–125. 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 ↗ | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗ |
| Другие названия≠ | fully modified OLS, Phillips-Hansen FMOLS, Tam Düzeltilmiş OLS (FMOLS) | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests | fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli |
| Связанные≠ | 5 | 3 | 5 |
| Сводка≠ | Fully Modified OLS, introduced by Phillips and Hansen (1990), estimates the long-run coefficients of a cointegrating relationship among I(1) variables. It applies a semi-parametric correction to ordinary least squares to remove the bias that endogeneity and serial correlation otherwise induce in cointegrated time series or panel data. | 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. | The Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014). |
| ScholarGateНабор данных ↗ |
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