Порівняння методів

	Тест на коінтеграцію панельних даних за Енглом-Грейнджером	Панельний тест Йохансена на коінтеграцію
Галузь	Економетрика	Економетрика
Родина	Regression model	Regression model
Рік появи	1999	2001
Автор методу	Pedroni (1999), extending Engle & Granger (1987)	Larsson, Lyhagen & Lothgren (building on Johansen 1988/1991)
Тип	Cointegration test	Panel cointegration test
Основоположне джерело	Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61(S1), 653-670.	Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142.
Інші назви	panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration	panel Johansen test, Larsson-Lyhagen-Lothgren test, LLL panel cointegration, panel trace test
Пов'язані	5	5
Підсумок	The Panel Engle-Granger cointegration test extends the classic two-step Engle-Granger procedure to panel data, allowing researchers to detect long-run equilibrium relationships among integrated variables across multiple cross-sectional units simultaneously. Pedroni (1999) developed panel statistics that pool information across units while allowing heterogeneous short-run dynamics and individual-specific intercepts and trends.	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.