方法证据记录
Panel Engle-Granger Cointegration
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.
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 Engle-Granger Cointegration Test
分类方法记录 · regression-model / econometrics
- 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 10.1111/1468-0084.0610s1653
- Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251-276. · DOI 10.2307/1913236
精选声明
声明已持久化到证据分类账中，每个声明都有自己的评估。
尚无精选声明
当分类账中没有声明时，此视图不会自行创建声明评估。
相关方法
从方法图中生成，显示为机器建议的关系 — 不推断任何证据声明。