Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Надійний ARDL-тест на коінтеграцію× | Тест меж ARDL (Тест меж Pesaran)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2019 | 2001 |
| Автор методу≠ | Sam, McNown & Goh | Pesaran, Shin & Smith |
| Тип≠ | Cointegration test | Cointegration test / Autoregressive distributed lag model |
| Основоположне джерело≠ | Sam, C. Y., McNown, R., & Goh, S. K. (2019). An augmented autoregressive distributed lag bounds test for cointegration. Economic Modelling, 80, 130-141. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| Інші назви | Robust ARDL, Robust bounds testing approach, Sam-McNown-Goh bounds test, Bootstrap ARDL bounds test | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Пов'язані≠ | 3 | 4 |
| Підсумок≠ | The Robust ARDL bounds test is an augmented version of the Pesaran-Shin-Smith (2001) ARDL bounds testing approach that resolves its two key weaknesses: size distortion under mixed integration orders and the degenerate-case problem. It introduces three separate test statistics — an overall F-test and two new Wald statistics for the dependent and independent variables — evaluated against bootstrap-generated critical values. | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. |
| ScholarGateНабір даних ↗ |
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