Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| PANIC× | Тест CIPS× | |
|---|---|---|
| Область | Эконометрика | Эконометрика |
| Семейство | Hypothesis test | Hypothesis test |
| Год появления≠ | 2004 | 2007 |
| Автор метода≠ | Jushan Bai & Serena Ng | M. Hashem Pesaran |
| Тип≠ | Panel unit root test | Panel unit-root test with cross-section dependence |
| Основополагающий источник≠ | Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127–1177. DOI ↗ | Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312. DOI ↗ |
| Другие названия | Panel Analysis of Non-stationarity in Idiosyncratic and Common Components, Bai-Ng PANIC Test, Second-Generation Panel Unit Root Test, Panel Birim Kök Testi (PANIC) | Pesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök Testi |
| Связанные | 3 | 3 |
| Сводка≠ | PANIC (Panel Analysis of Non-stationarity in Idiosyncratic and Common Components) is a second-generation panel unit root test introduced by Bai and Ng (2004). It decomposes each panel series into common factors and idiosyncratic components, then tests for unit roots in each part separately, making it robust to cross-sectional dependence — a critical limitation of first-generation tests such as IPS or LLC. | The CIPS test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed for panels in which the cross-sectional units share unobserved common factors that induce cross-section dependence. By augmenting each individual ADF regression with cross-sectional averages and their lags, the CIPS test accounts for this dependence and produces reliable inference where first-generation tests such as the original IPS test break down. It is widely applied in macroeconomic and finance panels where shocks propagate across countries or regions. |
| ScholarGateНабор данных ↗ |
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