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个体协整条件下面板单位根检验统计量性质研究 被引量：1

Research on the Properties of Panel Unit Root Test Statistics with Cointegration among Individual Units
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摘要 本文通过蒙特卡洛模拟试验,研究了个体间的协整关系对面板单位根检验统计量分布、实际检验水平及检验功效的影响。结果显示:个体间协整关系个数和协整向量均对检验统计量分布产生影响;同时,如果忽视个体间存在的协整关系,继续运用个体间无协整关系条件下检验统计量的临界值进行面板单位根检验,各检验统计量实际检验水平将严重失真。 This paper researches the effect of cointegration among individual units on the distributions, sizes and powers of unit root test statistics in panel data via Monte Carlo simulations. The results reveal that both the number of cointegTating relations and the cointegTating vectors have effect on the distributions of the statistics. Therefore, if cointegrations among individual units are ignored, using critical values under crosssectional dependency hypothesis will distort the test size.
作者 段鹏 白仲林 张晓峒
机构地区 南开大学经济学院 湖北大学商学院 天津大学统计系
出处 《统计研究》 CSSCI 北大核心 2009年第4期91-100,共10页 Statistical Research
基金 国家自然科学基金项目(批准号:70771072,70571039)的阶段性成果
关键词 协整 蒙特卡洛模拟 检验水平 检验功效 Cointegration Monte Carlo Simulations Size Power
分类号 C812 [社会学—统计学]
  • 相关文献

参考文献13

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二级参考文献16

  • 1张晓峒,白仲林.退势单位根检验小样本性质的比较[J].数量经济技术经济研究,2005,22(5):40-49. 被引量：28
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共引文献6

同被引文献45

  • 1白仲林.同期相关面板数据退势单位根检验的小样本性质[J].数量经济技术经济研究,2006,23(5):146-152. 被引量：7
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统计研究
2009年 第4期

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