Jämför metoder
Granska de valda metoderna sida vid sida; rader som skiljer sig är markerade.
| Dynamisk OLS-estimator (Dynamic Ordinary Least Squares, DOLS)× | Common Correlated Effects Mean Group (CCEMG) skattare× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 1993 | 2006 |
| Upphovsperson≠ | Stock & Watson (1993); panel extension Kao & Chiang (2001) | M. Hashem Pesaran |
| Typ≠ | Cointegrating regression estimator | Heterogeneous panel estimator |
| Ursprungskälla≠ | 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 ↗ |
| Alias≠ | DOLS, Stock-Watson dynamic OLS, dynamic least squares cointegration estimator, Dinamik OLS (DOLS) | common correlated effects, CCE, CCEMG, Pesaran CCE estimator |
| Närliggande≠ | 5 | 4 |
| Sammanfattning≠ | 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. |
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