方法对比
并排查看您选择的方法；存在差异的行会高亮显示。
| 面板向量误差修正模型 (Panel VECM)× | 面板 Engle-Granger 协整检验× | |
|---|---|---|
| 领域 | 计量经济学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 1987–1995 | 1999 |
| 提出者≠ | Engle & Granger (1987) for VECM; Holtz-Eakin, Newey & Rosen (1988) for panel VAR extension | Pedroni (1999), extending Engle & Granger (1987) |
| 类型≠ | Multivariate dynamic panel model | Cointegration test |
| 开创性文献≠ | Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. DOI ↗ | Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61(S1), 653-670. DOI ↗ |
| 别名 | Panel VECM, panel vector error correction model, PVECM, panel cointegrating VAR | panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration |
| 相关 | 5 | 5 |
| 摘要≠ | Panel VECM combines vector error correction modelling with panel data, simultaneously capturing the long-run cointegrating equilibrium among multiple I(1) variables and their short-run adjustment dynamics across multiple cross-sectional units. It is the standard framework when panel variables share at least one common stochastic trend. | 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. |
| ScholarGate数据集 ↗ |
|
|