Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Оцінювач Fully Modified OLS (FMOLS)× | Регресія звичайно найменших квадратів (ЗНК)× | Тести на коінтеграцію в панельних даних (Pedroni, Kao, Westerlund)× | |
|---|---|---|---|
| Галузь | Економетрика | Економетрика | Економетрика |
| Родина | Regression model | Regression model | Regression model |
| Рік появи≠ | 1990 | 2019 | 2004 |
| Автор методу≠ | Phillips & Hansen (time series); Pedroni (heterogeneous panels) | Wooldridge (textbook treatment); classical least squares | Pedroni; Kao; Westerlund |
| Тип≠ | Cointegrating regression estimator | Linear regression | Panel cointegration test |
| Основоположне джерело≠ | Phillips, P. C. B. & Hansen, B. E. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes. Review of Economic Studies, 57(1), 99–125. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 | 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 ↗ |
| Інші назви≠ | fully modified OLS, Phillips-Hansen FMOLS, Tam Düzeltilmiş OLS (FMOLS) | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests |
| Пов'язані≠ | 5 | 5 | 3 |
| Підсумок≠ | Fully Modified OLS, introduced by Phillips and Hansen (1990), estimates the long-run coefficients of a cointegrating relationship among I(1) variables. It applies a semi-parametric correction to ordinary least squares to remove the bias that endogeneity and serial correlation otherwise induce in cointegrated time series or panel data. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). | Panel cointegration tests check whether a set of integrated variables share a stable long-run equilibrium relationship across a panel of cross-sectional units. Pedroni (1999, 2004) provides heterogeneous-panel tests with seven statistics, Kao (1999) gives an ADF-based homogeneous-panel test, and Westerlund (2007) adds error-correction-based tests robust to structural breaks and cross-sectional dependence. |
| ScholarGateНабір даних ↗ |
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