Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тест на одиничний корінь для панельних даних (Panel ADF)× | Панельний тест Йохансена на коінтеграцію× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2002–2003 | 2001 |
| Автор методу≠ | Im, Pesaran & Shin (2003); Levin, Lin & Chu (2002) | Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991) |
| Тип≠ | Unit root / stationarity test | Panel cointegration test |
| Основоположне джерело≠ | Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. DOI ↗ | Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142. DOI ↗ |
| Інші назви | Panel ADF test, IPS test, Im-Pesaran-Shin test, panel unit root test | panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace test |
| Пов'язані≠ | 6 | 5 |
| Підсумок≠ | The Panel Augmented Dickey-Fuller (Panel ADF) unit root test extends the classical ADF framework to panel datasets. By pooling information across cross-sectional units it achieves substantially higher power than single-series ADF tests, allowing researchers to determine whether time-series variables are stationary or integrated of order one before modelling long-run relationships. | 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. |
| ScholarGateНабір даних ↗ |
|
|