方法证据记录
Panel Cointegration Tests
Panel cointegration tests check whether a set of integrated variables share a stable long-run equilibrium relationship across a panel of cross-sectional units. Pedroni (1999, 2004) provides heterogeneous-panel tests with seven statistics, Kao (1999) gives an ADF-based homogeneous-panel test, and Westerlund (2007) adds error-correction-based tests robust to structural breaks and cross-sectional dependence.
源记录
引文逐字复制自方法源记录。这些引文不代表任何层级的验证。
Panel Cointegration Tests (Pedroni, Kao, Westerlund)
分类方法记录 · regression-model / econometrics
- 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
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