方法对比
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| CIPS检验× | Frees 截面相关性检验（Frees Cross-Sectional Dependence Test）× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Hypothesis test | Hypothesis test |
| 起源年份≠ | 2007 | 1995 |
| 提出者≠ | M. Hashem Pesaran | Edward Frees |
| 类型≠ | Panel unit-root test with cross-section dependence | Non-parametric panel diagnostic test |
| 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 ↗ | Frees, E. W. (1995). Assessing cross-sectional correlation in panel data. Journal of Econometrics, 69(2), 393–414. DOI ↗ |
| 别名 | Pesaran CIPS Test, Cross-Sectionally Augmented IPS, Second-Generation Panel Unit-Root Test, CIPS Birim Kök Testi | Frees CD Test, Frees Q-statistic Test, Cross-Sectional Dependence Test (Frees), Frees Bağımlılık Testi |
| 相关 | 3 | 3 |
| 摘要≠ | The CIPS test, introduced by Pesaran (2007), is a second-generation panel unit-root test designed for panels in which the cross-sectional units share unobserved common factors that induce cross-section dependence. By augmenting each individual ADF regression with cross-sectional averages and their lags, the CIPS test accounts for this dependence and produces reliable inference where first-generation tests such as the original IPS test break down. It is widely applied in macroeconomic and finance panels where shocks propagate across countries or regions. | The Frees test, introduced by Edward Frees in 1995, is a non-parametric diagnostic procedure for detecting cross-sectional dependence in panel data. It is designed for settings where N (number of units) is large and T (time periods) is moderate, making it a standard pre-estimation check before applying panel regression methods that assume cross-sectional independence. Applied economists and social scientists routinely use it to verify whether units in the panel share common shocks or spatial linkages. |
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