Regression model
面板协整检验（Pedroni、Kao、Westerlund）
面板协整检验旨在判断一组积分变量在一系列截面单位上是否共享一个稳定的长期均衡关系。Pedroni (1999, 2004) 提供了具有七个统计量的异质面板检验，Kao (1999) 提出了基于 ADF 的同质面板检验，而 Westerlund (2007) 则增加了对结构性断裂和截面依赖稳健的误差修正检验。
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来源
- Pedroni, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis. Econometric Theory, 20(3), 597–625. DOI: 10.1017/S0266466604203073 ↗
- Westerlund, J. (2007). Testing for Error Correction in Panel Data. Oxford Bulletin of Economics and Statistics, 69(6), 709–748. DOI: 10.1111/j.1468-0084.2007.00477.x ↗
如何引用本页
ScholarGate. (2026, June 1). Panel Cointegration Tests (Pedroni, Kao, Westerlund). ScholarGate. https://scholargate.app/zh/econometrics/panel-cointegration
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