方法对比
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| Pesaran CD检验：面板数据中的横截面依赖性诊断× | 布雷施-戈弗雷序列相关LM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≠ | 2021 | 1978 |
| 提出者≠ | M. Hashem Pesaran | Trevor Breusch & Leslie Godfrey |
| 类型≠ | Non-parametric diagnostic test | Lagrange-multiplier test for serial correlation |
| 开创性文献≠ | Pesaran, M. H. (2021). General diagnostic tests for cross-sectional dependence in panels. Empirical Economics, 60(1), 13–50. DOI ↗ | Godfrey, L. G. (1978). Testing against general autoregressive and moving average error models when the regressors include lagged dependent variables. Econometrica, 46(6), 1293–1301. DOI ↗ |
| 别名 | CD Test, Cross-Sectional Dependence Test, Pesaran General CD Test, Kesitsel Bağımlılık Testi | BG test, LM test for autocorrelation, Breusch-Godfrey serial correlation test, Breusch-Godfrey otokorelasyon testi |
| 相关 | 3 | 3 |
| 摘要≠ | The Pesaran CD test is a general diagnostic procedure for detecting cross-sectional dependence in panel data models. Developed by M. Hashem Pesaran (2021), it is applicable to both balanced and unbalanced panels with large N and T, and retains validity under heterogeneous slope coefficients. The test is widely adopted in empirical economics, finance, and political economy as a prerequisite check before selecting appropriate estimators or unit-root tests for panel datasets. | The Breusch-Godfrey test is a Lagrange-multiplier test for serial correlation in regression residuals, developed independently by Trevor Breusch (1978) and Leslie Godfrey (1978). Unlike the Durbin-Watson test, it detects autocorrelation up to any chosen order p, remains valid when the model includes lagged dependent variables, and produces a definite chi-square p-value rather than an inconclusive region — making it the modern standard for autocorrelation testing. |
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