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| Panel Johansen-test för kointegration× | Panel Granger-kausalitetstest× | |
|---|---|---|
| Ämnesområde | Ekonometri | Ekonometri |
| Familj | Regression model | Regression model |
| Ursprungsår≠ | 2001 | 1988–2012 |
| Upphovsperson≠ | Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991) | Holtz-Eakin, Newey & Rosen (1988); Dumitrescu & Hurlin (2012) |
| Typ≠ | Panel cointegration test | Causality test |
| Ursprungskälla≠ | Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142. DOI ↗ | Dumitrescu, E.-I., & Hurlin, C. (2012). Testing for Granger non-causality in heterogeneous panels. Economic Modelling, 29(4), 1450–1460. DOI ↗ |
| Alias | panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace test | panel causality test, Dumitrescu-Hurlin test, heterogeneous panel causality, panel Granger test |
| 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 Granger Causality test examines whether past values of one variable help predict another variable across multiple cross-sectional units observed over time. It extends the classical Granger causality framework to panel data, accounting for cross-sectional heterogeneity and enabling more powerful inference by pooling information across units. |
| ScholarGateDatamängd ↗ |
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