基于大维随机矩阵极限谱分布的面板数据单位根检验

Unit Root Test in Panel Data Basing on the Limiting Spectral Distribution of Large-bimensional Random Matrix

近30年来,随着经济现象的越来越复杂和计算机信息技术的发展,大维面板数据模型被引入计量经济研究中.由于面板数据同一维的时间序列一样具有跨时间的特点,因而需要在进行回归之前考虑其是否平稳,即要对其进行单位根检验,以避免伪回归.基于大维随机矩阵的极限谱分布理论,给出针对面板数据的、一种新的单位根检验方法.

With the development of Computer information technology large-dimensional panel data models have been introduced into the econometric researches during the past three decades, in order to sdve the more and more complex economic phenomenons, As We Rnow, the ome-dimension ol time series has the across time feature, so the panel data does Then, when we cofront wlih the panel data, we must be sure it is stationary, That means we Shoulol test unit root before regressing in ordor to avoid Spurious regression. This article Provides a new unit root test method for panel data which is basiny on the theory of the limiting Spectral distribution of large-dimensional random matrix.