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Test CD Pesaran: Diagnostika priečnej závislosti pre panelové dáta×CIPS Test×Freesov test priečnej závislosti pre panelové dáta×
OdborEkonometriaEkonometriaEkonometria
RodinaHypothesis testHypothesis testHypothesis test
Rok vzniku202120071995
TvorcaM. Hashem PesaranM. Hashem PesaranEdward Frees
TypNon-parametric diagnostic testPanel unit-root test with cross-section dependenceNon-parametric panel diagnostic test
Pôvodný zdrojPesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60(1), 13–50. 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 ↗Frees, E. W. (1995). Assessing cross-sectional correlation in panel data. Journal of Econometrics, 69(2), 393–414. DOI ↗
Ďalšie názvyCD Test, Cross-Sectional Dependence Test, Pesaran General CD Test, Kesitsel Bağımlılık TestiPesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök TestiFrees CD Test, Frees Q-statistic Test, Cross-Sectional Dependence Test (Frees), Frees Bağımlılık Testi
Príbuzné333
ZhrnutieThe Pesaran CD test is a general diagnostic procedure for detecting cross-sectional dependence in panel data models. Developed by M. Hashem Pesaran (2021), it is applicable to both balanced and unbalanced panels with large N and T, and retains validity under heterogeneous slope coefficients. The test is widely adopted in empirical economics, finance, and political economy as a prerequisite check before selecting appropriate estimators or unit-root tests for panel datasets.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.The Frees test, introduced by Edward Frees in 1995, is a non-parametric diagnostic procedure for detecting cross-sectional dependence in panel data. It is designed for settings where N (number of units) is large and T (time periods) is moderate, making it a standard pre-estimation check before applying panel regression methods that assume cross-sectional independence. Applied economists and social scientists routinely use it to verify whether units in the panel share common shocks or spatial linkages.
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ScholarGatePorovnať metódy: Pesaran CD Test · CIPS Test · Frees Test. Získané 2026-06-19 z https://scholargate.app/sk/compare