Jämför metoder
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| Im-Pesaran-Shin (IPS) panelenhetstrotstest× | Levin-Lin-Chu (LLC) panelenhetrotstest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Hypothesis test | Hypothesis test |
| Ursprungsår≠ | 2003 | 2002 |
| Upphovsperson≠ | Im, Pesaran & Shin | Andrew Levin, Chien-Fu Lin & Chia-Shang Chu |
| Typ≠ | Panel unit-root test allowing cross-sectional heterogeneity | Panel unit-root test (homogeneous alternative) |
| Ursprungskälla≠ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. DOI ↗ | Levin, A., Lin, C.-F., & Chu, C.-S. J. (2002). Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics, 108(1), 1–24. DOI ↗ |
| Alias | IPS Test, IPS Panel Unit-Root Test, Heterogeneous Panel Unit-Root Test, Im-Pesaran-Shin Birim Kök Testi | LLC Test, Panel Unit-Root Test (Homogeneous), Levin-Lin Unit-Root Test, Panel Birim Kök Testi (LLC) |
| Närliggande | 3 | 3 |
| Sammanfattning≠ | The Im-Pesaran-Shin (IPS) test, introduced by Im, Pesaran, and Shin in 2003, is a panel unit-root test designed for heterogeneous panels where the autoregressive coefficient is allowed to differ across cross-sectional units. It averages individual Augmented Dickey-Fuller (ADF) t-statistics and constructs a standardized statistic with a standard normal limiting distribution, making it one of the most widely applied first-generation panel unit-root tests in applied econometrics. | The Levin-Lin-Chu (LLC) test, introduced by Levin, Lin, and Chu (2002), is a first-generation panel unit-root test that pools cross-sectional information to test whether all units in a panel share a common autoregressive unit root. It is widely used in applied economics and finance when researchers work with balanced or near-balanced panels and require a powerful test against a homogeneous stationary alternative. |
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