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含有变结构点的面板循序检验方法研究 被引量：3

Research on Sequential Tests for Structural Change Points in Panel Data
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摘要 针对含有变结构点的面板数据易产生"伪单位根"现象,提出面板循序检验方法:首先给出检验模型和检验步骤,其次通过Monte Carlo模拟得到检验统计量的临界值,最后结合我国各地区的GDP数据进行实证分析。研究发现:中国GDP数据为带有结构突变的趋势平稳序列。 Sequential tests for structural change points in panel data is proposed to depict spurious unit root in panel data. Method of Sequential test is given firstly, then the critical values of test statistic are considered by Monte Carlo simulation. Finally empirical study on GDP of China is given, and results indicate that GDP of China is a stationary panel data with structural change.
作者 陈海燕 杨宝臣
机构地区 天津大学管理学院
出处 《统计与信息论坛》 CSSCI 2009年第1期23-26,共4页 Journal of Statistics and Information
基金 教育部人文社会科学研究规划基金项目<基于非平稳面板数据的协整理论与应用研究>(05JA790059)
关键词 面板数据 变结构点 循序检验 单位根 panel data structural change points sequential tests unit roots
分类号 F224.0 [经济管理—国民经济]
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参考文献7

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同被引文献36

  • 1刘建民,刘星.我国股市股票收益率的横截面数据分析[J].统计与决策,2006,22(2):97-100. 被引量：9
  • 2Kao C. , Chiang M. H. , 2000, Testing for Structural Change of a Cointegrated Regression in Pan- el Data [R], Working Paper, Syracuse University.
  • 3Banerjee A. , Carrion-i-Silvestre J. L. , 2006, Cointegration in Panel Data with Breaks and Cross- Section Dependence [R], ECB Working Paper No. 591.
  • 4Westerlund J. , 2006, Testing for Panel Cointegration with Multiple Structural Breaks [J], Oxford Bulletin of Economics and Statistics, 68, 101-132.
  • 5Luciano G. , 2005, Tests for Cointegration in Panels with Regime Shifts [R], University of Sas- sari, Department of Agricultural Economics, Working Paper.
  • 6Gregory A. W. , Hansen B. E. , 1996, Residual Based Tests for Cointegration in Models with Re- gime Shifts [J], Journal of Econometrics, 70, 99-126.
  • 7Phillips P. C. 13. , Ouliaris S. , 1990, Asymptotic Properties of Residual Based Tests for Cointegra- tion [J], Econometrica, 58, 165-193.
  • 8Bartlett M. S. , 1946, On the Theoretical Specification of Sampling Properties of Autocorrelated Time Series [J], Journal of the Royal Statistical, 8, 27-41.
  • 9Ktinsch H. R. , 1989, The Jackknife and the Bootstrap for General Stationary Observations [J], The Annals of Statistics, 17 (3), 1217-1241.
  • 10Politis D. N. and Romano J. P. , 1994, The Stationary Bootstrap [J], Journal of the American Sta- tistical Association, 89, 1303-1313.

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统计与信息论坛
2009年 第1期

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