Panel Cointegration Tests (Pedroni, Kao, Westerlund)
Panel cointegration tests proveravaju da li skup integrisanih promenljivih deli stabilan dugoročni ravnotežni odnos preko panela presecnih jedinica. Pedroni (1999, 2004) pruža testove sa heterogenim panelima sa sedam statistika, Kao (1999) daje test sa homogenim panelom zasnovan na ADF-u, a Westerlund (2007) dodaje testove zasnovane na korekciji grešaka, otporne na strukturne prekide i presecnu zavisnost.
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Izvori
- 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: 10.1017/S0266466604203073 ↗
- Westerlund, J. (2007). Testing for Error Correction in Panel Data. Oxford Bulletin of Economics and Statistics, 69(6), 709–748. DOI: 10.1111/j.1468-0084.2007.00477.x ↗
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ScholarGate. (2026, June 1). Panel Cointegration Tests (Pedroni, Kao, Westerlund). ScholarGate. https://scholargate.app/sr/econometrics/panel-cointegration
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