基于结构突变和截面相关的面板协整检验

Panel Cointegration Test with Structural Breaks and Cross-sectional Dependence

基于Westerlund和Edgerton(2008),考虑无时间趋势和有时间趋势的面板协整检验。在检验时,不仅允许误差项存在异方差、序列相关及截面相关,而且还允许各截面在截距和协整斜率上存在未知时点的多个突变点。蒙特卡洛模拟结果表明,该检验具有较小的水平扭曲和较高的检验势,将模型拓展到不含有趋势项的情形是必要的。在此基础上,使用基于动态最小二乘估计量的新统计量对国际CO_2排放和经济增长关系进行检验,发现在考虑突变和截面相关的情形下,两者确实存在长期均衡关系。

Based on Westerlund and Edgerton （2008）, the paper considers a panel cointegration test either with time trend or without individual-specific time trends. The test allows for heteroskedastic and serially correlated errors, cross-sectional dependence and unknown breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The results of Monte Carlo show that the test statistics have small distortion size and high power. It is necessary to extend the model to the ones without time trend. We use the new statistics based on DOLS estimators to examine the relationship between CO2 emissions and economic growth while considering cross-sectional dependence the long-run equilibrium between them. using international data and find that and structural breaks, there does exist