摘要
针对结构变化的面板数据,利用非线性平滑转换函数修正IPS面板单位根检验,提出LSTR-IPS面板单位根检验方法。通过模拟研究表明,LSTR-IPS比传统的面板单位根检验方法具有更高的功效,并且当样本量越大时,LSTR-IPS检验的功效越高,特别是随着时间T的增大,检验功效呈上升趋势。最后,对我国经济增长进行平稳性检验,表明经济增长为带结构变化的趋势平稳过程而非一阶单整过程,说明LSTR-IPS检验能更准确地判断面板数据的平稳性。
This paper proposes a method for unit root testing of panel data with structural change based on LSTR-IPS,by modifying the traditional IPS unit test with nonlinear smooth transition function.The simulation results show that LSTR-IPS test has much more test power than the traditional unit root tests,furthermore,the bigger sample size is,the more contribution of the test power for the LSTR-IPS test.Especially,with the increase of time horizon T,the test power of LSTR-IPS test increase significantly.Finally,as an example,we conduct unit root test with regard to the regional GDP growth using LSTR-IPS test,It is found that the regional GDP growth process in China is a trend stationary process with structural change rather than a unit root process which is previously being concluded,thus,it is indicated that the LSTR-IPS test has more accuracy and power for unit root test of panel data.
出处
《系统管理学报》
CSSCI
北大核心
2011年第1期16-21,39,共7页
Journal of Systems & Management
基金
教育部人文社会科学规划基金项目(05JA790059)
天津大学自主创新基金资助项目
