期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

面板单位根检验方法及稳定性的探讨 被引量：9

The Analysis of Panel Data's Unit Root Test Method and Stability
原文传递
导出
摘要 单位根检验在近30年是计量经济学中最活跃的领域之一.面板数据单位根检验方法比常规时间序列单位根检验方法复杂,一直是国际经济计量学界研究的热点与难点问题,到目前为止还远未形成一个统一的框架进行检验.为更好地发展和完善面板数据的单位根检验方法,使用具体数据进行多次模拟实验,对国际上通行的检验方法进行较为详细、深入的探讨,最后比较、核对、确认检验方法的稳定性. This article summarizes the Panel Data＇s unit root test theory,method and analysis technology.The Panel Data＇s unit root test so far have not completely unified,and especially the test method＇s stability is now the hot and tough topic of Econometric Academic World.In order to develop and improve Panel Data＇s unit root test method,this article applies the concrete data to carry on the several simulation tests,then discuss in detail the popular test method＇s stability and finally compare,checkup and verify the stability of test method.
作者 吕延方 陈磊
机构地区 东北财经大学数学与数量经济学院/经济计量分析与预测研究中心
出处 《数学的实践与认识》 CSCD 北大核心 2010年第21期49-61,共13页 Mathematics in Practice and Theory
关键词 面板 面板单位根 稳定性 panel data panel data＇s unit root stability
分类号 F203 [经济管理—国民经济] O212.1 [理学—概率论与数理统计]
  • 相关文献

参考文献20

  • 1Bharagava A, Franzini L & Narendranathan W. Serial correlation and fixed effects models[@ Review of Economic Studies, 1982, 49: 533-549.
  • 2Levin A and Lin C F, Unit root tests in panel data, asymptotic and finite-sample properties[J]. UC San Diego. Working Paper, 1992: 92-23.
  • 3Levin A, Lin C F and Chu C S J. Unit root tests in panel data, asymptotic and finite-sample properties[J]. Journal of Econometrics, 20(}2, 108: 1-24.
  • 4Im K S, Pesaran M H and Shin Y. Testing for unit roots in heterogeneous panels[J]. Mimeo, Department of Applied Economics,University of Cambridge, 1997.
  • 5Im K S, Pesaran M H and Shin Y. Testing for unit roots in heterogeneous panels[J]. Journal of Econometrics, 2003, 115: 53-74.
  • 6Maddala G S and Wu S. A comparative study of unit root tests with panel data and a new simple test[J]. Oxford Bulletin of Economics and Statistics, 1999, 61: 631-652.
  • 7Choi I. Unit root tests for panel data[R]. Working paper, Department of Economics, Kookmin University, Korea. 1999.
  • 8Abuaf N and Jorion P. Purchasing power parity in the long run[J]. The Journal of Finance, 1990, 45: 157-174.
  • 9Jorion P and Sweeney R J, Mean reversion in real exchange rates[J]. Journal of International Money and Finance, 1997, 16: 19-35.
  • 10Flores R, Jorion P, Pierre-Yves P, Ariane S. Multivariate unit root tests of the PPP hypothesis[J]. Journal of Empirical Finance, 1999, 6: 335-353.

二级参考文献19

  • 1张晓峒.《计量经济分析》[M].经济管理出版社,2002年版..
  • 2Dickey D A, Fuller W A. Distribution of the Estimators for autoregressive time series with a unit root[J], Journal of the American Statistical Association Vol.74, 1979, 427-431.
  • 3Dickey D A, Fuller W A. Likelihood Ratio Statistics far Autoregressive Time Series with a Unit Root[J], Econometrica, Vol.49, 1981, 1057-1072.
  • 4Elliott G, Efficient tests for a unit root when the initial observation is drawn from its unconditional distribution [J], International Economic Review, Vol.40, 1999, 767-783.
  • 5Elliott G, Rothenberg T J, Stock J H. Efficient tests far an autoregressive unit root [J], Econometrica, Vol.64, 1996, 813-836.
  • 6Herce M A. Asymptotic theory of LAD estimation in a unit root process with finite variance errors [J], Econometric Theory, Vol. 12, 1996, 129-153.
  • 7Lucas A. Unit root tests based on M estimators [J], Econometric Theory Vol. 11, 1995, 331-346.
  • 8Pantula S G, Farias G G, Fuller W A. A comparison of unit root test criteria [J], Journal of Business Economics Statistics, Vol. 12, 1994, 449-459.
  • 9Phillips P C B, Perron P. Testing for a unit root in time series regression [J], Biometrika, Vol. 75,1988, 335-346.
  • 10Phillips P C B, Zhijie X. An ADF Coefficient Test for A Unit Root in ARMA Models of Unknown Order with Empirical Applications o the U. S. Economy [D], Cowles Foundation Discussion Paper 1161, 1997.

共引文献28

同被引文献112

引证文献9

二级引证文献43

数学的实践与认识
2010年 第21期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部