Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Панельний тест KSS× | Панельний тест DF-GLS× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1992 | 1996 |
| Автор методу≠ | Kwiatkowski, Phillips, Schmidt, and Shin (panel version by Hadri) | Elliott, Rothenberg, and Stock (adapted to panels) |
| Тип≠ | Unit-root test | Stationarity test |
| Основоположне джерело≠ | 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 ↗ | Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometric Reviews, 13(4), 469-497. DOI ↗ |
| Інші назви | Panel stationarity test | Panel unit-root test |
| Пов'язані | 3 | 3 |
| Підсумок≠ | 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. | 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. |
| ScholarGateНабір даних ↗ |
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