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同期相关面板数据结构突变单位根检验的统计性质--中国CPI指数平稳性的经验证据 被引量：3

The Statistic Properties of a Unit Root Test for Contemporaneous Correlative Panel Data with a Structural Break:an Empirical Evidence of Chinese CPI Stationarity
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摘要 本文首先研究了同期相关面板数据外生同期截距突变同质面板单位根检验的统计性质。研究发现对于大面板数据该检验具有良好的实际检验水平,面板数据的大小、同期相关程度、结构突变位置和结构突变幅度等因素对该检验的检验功效具有显著影响,而且ρSUR检验比τSUR检验有更理想的检验效果。其次,利用该检验对中国省级CPI指数的平稳性进行了经验分析,发现中国省级CPI指数是趋势结构突变的平稳过程。 This paper firstly studies the statistic properties of the unit root test of contemporaneous correlative panel with a structural break. The results show that the size of the test is very well for large panel data. And the test sample size, extents of structural break and the location of structural breaks makes an immense impact on the power of the test. And Moreover, ρsua test is more effective than τSUR test. Based on CPI data of 31 provinces, the author finds that CPI is trend stationary stochastic process presented a structural break by this test.
作者 白仲林
机构地区 天津财经大学统计学院教授
出处 《统计研究》 CSSCI 北大核心 2008年第10期86-91,共6页 Statistical Research
基金 国家自然科学基金项目“基于Bayesian方法的面板单位根检验和协整检验方法研究”(70771072) 全国统计科学研究计划项目“小样本统计调查数据的样本扩充技术方法研究”(2006C42)的阶段性成果
关键词 结构突变 面板单位根检验 统计性质 CPI指数 平稳 Structural break Panel unit root test Statistic property CPI Stationary
分类号 F222.3 [经济管理—国民经济]
  • 相关文献

参考文献15

  • 1P Perron. The great crash, the oil shock and the unit root hypothesis [J]. Econometrica, 1989(57) : 1361 - 1402.
  • 2白仲林.一种结构突变面板数据单位根的联合检验[J].数量经济技术经济研究,2008,25(10):153-160. 被引量：10
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二级参考文献42

  • 1Jenkins, M. A., 1997. “Cities, Borders, Distances, Non-Traded Goods and Purchasing Power Parity.” Oxford Bulletin of Economics and Statistics,59, pp.203 13.
  • 2Levin, A. and Lin, C. F., 1992. “Unit Root Test in Panel Data: Asymptotic and Finite Sample Properties,”University of California at San Diego Discussion Paper, No. 92-93.
  • 3Levin, A. and Lin, C. F., 1993. “Unit Root Test in Panel Data: New Results.” University of California at San Diego Discussion Paper, No.93-56.
  • 4Levin, A. ; Lin, C. F. and Chu, C. S. J., 2002. “Unit Root Tests in Panel Data: Asymptotic and Finite - Sample Properties.”Journal of Econometrics, 108, pp.1-24.
  • 5Lothoian, James and Mark Taylor, 1996. “Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries. ”Journal of Political Economy, 104, pp. 488-541.
  • 6O'Connell, P., 1998. “ The Overvaluafion ot Purchasing Power Parity. ”Journal of International Economics,44, pp.1-19.
  • 7Papell, D., 1997. “Searching for Stationarity: Purchasing Power Parity under the Current Float.” Journal of International Economics, 43, pp.313-32.
  • 8Papell, D. and Theodoridis, H., 1998.“Increasing Evidence of Purchasing Power Parity over the Current Float.” Journal of International Money and Finance, 17, pp.41-50.
  • 9Papell, D. H. and Theodoridis, H., 2001. “The Choice of Numeraire Currency in Panel Tests of Purchasing Power Parity.” Journal of Money, Credit, and Banking, 33, pp.790-803.
  • 10Parsley, D.C. and Wei, S.-J., 1996.“Convergence to the Law of One Price without Trade Barriers or Currency Fluctuations.”Quarterly Journal of Economics, 111, pp. 1 211-1 236.

共引文献27

同被引文献35

  • 1徐炳胜.单位根“伪检验”解析——以GDP时间序列为例[J].数量经济技术经济研究,2006,23(5):153-156. 被引量：19
  • 2张建华,涂涛涛.结构突变时间序列单位根的“伪检验”[J].数量经济技术经济研究,2007,24(3):142-151. 被引量：11
  • 3刘金全,郑挺国,隋建利.我国通货膨胀率均值过程和波动过程中的双长记忆性度量与统计检验[J].管理世界,2007,23(7):14-21. 被引量：36
  • 4PERRON P. The Great Crash, the Oil Price Shock and the Unit Root Hypothesis[J]. Econometrica, 1989(57):1519-1554.
  • 5PERRON P. Testing for Unit Root in a Time Series with a Changing Mean[J]. Journal of Business and Economic Statistics, 1990(8) : 153-162.
  • 6JORION P, SWEENEY R J. Mean Reversion in Real Exchange Rates: Evidence and Implications for Forecasting[J]. Journal of International Money and Finance, 1996 ( 15 ) : 535-550.
  • 7IM K S, LEE J, TIESLAU M. Panel LM Unit Root Test with Level Shits[J]. Oxford Bulletin of Economics and Statistics, 2005(67) :393- 419.
  • 8WALTER E. Applied Econometric Time Series (second edition)[M]. New York: John Wiley & Sons, 2004.
  • 9ABUAF N, Jorion P. Purchasing Power Parity in the Long Run[J]. Journal of Finance, 1990(45) : 157-174.
  • 10LEVIN A, LIN C F. Unit Root Tests in Panel Data, Asymptotic and Finite Sample Properties[R]. UC San Diego, Discussion Paper, 1992.

引证文献3

二级引证文献13

统计研究
2008年 第10期

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