方法对比
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| 面板 Zivot-Andrews 结构性断点单位根检验× | 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≠ | 1992 (panel extension: 2000s) | 1999 |
| 提出者≠ | Zivot & Andrews (1992); extended to panel settings by subsequent literature | Pedroni (1999), extending Engle & Granger (1987) |
| 类型≠ | Unit root test with endogenous structural break | Cointegration test |
| 开创性文献≠ | Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 10(3), 251–270. 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 ZA test, panel structural break unit root test, Zivot-Andrews panel unit root test, panel endogenous break unit root test | panel cointegration test, panel EG cointegration, Pedroni cointegration test, residual-based panel cointegration |
| 相关≠ | 6 | 5 |
| 摘要≠ | The Panel Zivot-Andrews test extends the single-series Zivot-Andrews (1992) structural break unit root test to panel data, allowing each cross-sectional unit to have its own endogenously determined break date. It tests the null of a unit root against the alternative of stationarity with a one-time structural break, accounting for regime shifts that bias standard panel unit root tests toward false non-rejection. | 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. |
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