Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Панельний тест DF-GLS× | Тест на коінтеграцію Макі× | Панельний тест KSS× | |
|---|---|---|---|
| Галузь | Економетрика | Економетрика | Економетрика |
| Родина | Regression model | Regression model | Regression model |
| Рік появи≠ | 1996 | 2012 | 1992 |
| Автор методу≠ | Elliott, Rothenberg, and Stock (adapted to panels) | Darshana Maki | Kwiatkowski, Phillips, Schmidt, and Shin (panel version by Hadri) |
| Тип≠ | Stationarity test | Structural-break test | Unit-root test |
| Основоположне джерело≠ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometric Reviews, 13(4), 469-497. DOI ↗ | Maki, D. (2012). Tests for cointegration allowing for an unknown number of breaks. Economic Modelling, 29(5), 2011-2015. DOI ↗ | Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1-3), 159-178. DOI ↗ |
| Інші назви | Panel unit-root test | Structural-break cointegration test | Panel stationarity test |
| Пов'язані | 3 | 3 | 3 |
| Підсумок≠ | Panel DF-GLS extends the Elliott, Rothenberg, and Stock (1996) GLS unit-root test to panel data, combining cross-sectional and time-series information to test whether variables contain unit roots. Introduced by Hadri and colleagues (2005), it is more powerful than standard panel unit-root tests (IPS, LLC) due to its GLS detrending approach. This test is essential for establishing stationarity before fitting cointegration or dynamic panel models. | The Maki cointegration test extends cointegration testing to allow for an unknown number of endogenously-determined structural breaks in the cointegrating relationship. Introduced by Maki (2012), it builds on Gregory and Hansen (1996), enabling detection of cointegration even when relationships shift due to policy changes, institutional reforms, or fundamental regime shifts. This is essential for applied time-series work where structural change is common. | The Panel KSS test reverses the null hypothesis of unit-root tests: it tests whether variables are stationary (stationarity is the null) versus nonstationary (unit root is the alternative). Introduced by Kwiatkowski et al. (1992) and extended to panels by Hadri (2000), this complementary approach provides robustness when combined with unit-root tests like Panel DF-GLS. Using both tests together reduces the risk of erroneous conclusions about variable persistence. |
| ScholarGateНабір даних ↗ |
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