Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тести на коінтеграцію в панельних даних (Pedroni, Kao, Westerlund)× | Регресія звичайно найменших квадратів (ЗНК)× | Модель фіксованих ефектів панельних даних× | |
|---|---|---|---|
| Галузь | Економетрика | Економетрика | Економетрика |
| Родина | Regression model | Regression model | Regression model |
| Рік появи≠ | 2004 | 2019 | 2014 |
| Автор методу≠ | Pedroni; Kao; Westerlund | Wooldridge (textbook treatment); classical least squares | Hsiao (textbook treatment); within transformation of panel data |
| Тип≠ | Panel cointegration test | Linear regression | Panel data regression |
| Основоположне джерело≠ | 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 ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗ |
| Інші назви≠ | Pedroni cointegration test, Kao cointegration test, Westerlund cointegration test, panel long-run equilibrium tests | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu | fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli |
| Пов'язані≠ | 3 | 5 | 5 |
| Підсумок≠ | 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. | 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). | The Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014). |
| ScholarGateНабір даних ↗ |
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