方法对比
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| 截面增强迪基-富勒（CADF）检验× | 增广迪基-福勒（ADF）单位根检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族≠ | Hypothesis test | Regression model |
| 起源年份≠ | 2007 | 1979 |
| 提出者≠ | M. Hashem Pesaran | David A. Dickey & Wayne A. Fuller |
| 类型≠ | Panel unit-root test with cross-sectional augmentation | Unit-root test for stationarity |
| 开创性文献≠ | Pesaran, M. H. (2007). A simple panel unit root test in the presence of cross-section dependence. Journal of Applied Econometrics, 22(2), 265–312. DOI ↗ | Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427–431. DOI ↗ |
| 别名 | Cross-Sectionally Augmented ADF, Panel CADF Test, Pesaran Panel Unit Root Test, CADF Birim Kök Testi | ADF test, Dickey-Fuller test, unit root test, Genişletilmiş Dickey-Fuller testi |
| 相关≠ | 3 | 4 |
| 摘要≠ | The Cross-sectionally Augmented Dickey-Fuller (CADF) test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed to handle cross-sectional dependence among panel units. Unlike first-generation panel unit-root tests that assume cross-sectional independence, the CADF test augments individual ADF regressions with cross-sectional averages of lagged levels and first differences, making it suitable for macro-panels and cross-country studies where common factors drive co-movement. | The Augmented Dickey-Fuller (ADF) test is the most widely used test for a unit root — that is, for whether a time series is non-stationary and must be differenced before modelling. Introduced by David Dickey and Wayne Fuller in 1979 and extended by Said and Dickey in 1984 to series with higher-order autocorrelation, it regresses the change in the series on its lagged level plus lagged differences and asks whether the lagged-level coefficient is zero. |
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