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| Panel Johansen-test för kointegration× | Panel Engle-Granger kointegrationstest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2001 | 1999 |
| Upphovsperson≠ | Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991) | Pedroni (1999), extending Engle & Granger (1987) |
| Typ≠ | Panel cointegration test | Cointegration test |
| Ursprungskälla≠ | Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142. DOI ↗ | Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61(S1), 653-670. DOI ↗ |
| Alias | panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace test | panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration |
| Närliggande | 5 | 5 |
| Sammanfattning≠ | The Panel Johansen cointegration test extends Johansen's maximum-likelihood framework to panel data, allowing researchers to test whether multiple non-stationary variables share long-run equilibrium relationships across cross-sectional units. It pools the likelihood-ratio statistics from individual Johansen tests and compares the standardised average against a standard normal distribution, yielding greater power than single-country approaches. | The Panel Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure to panel data, allowing researchers to detect long-run equilibrium relationships among integrated variables across multiple cross-sectional units simultaneously. Pedroni (1999) developed panel statistics that pool information across units while allowing heterogeneous short-run dynamics and individual-specific intercepts and trends. |
| ScholarGateDatamängd ↗ |
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