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The Finite Sample Properties of De - trending/De - meaning Unit Root Tests to Contemporaneous Correlative Panel Data
Author(s): 
Pages: 146-152
Year: Issue:  5
Journal: THE JOURNAL OF QUANTITATIVE & TECHNICAL ECONOMICS

Keyword:  面板单位根检验SUR-ADF-GLS检验小样本性质蒙特卡洛模拟;
Abstract: 本文基于SUR回归将时间序列的两种单位根检验(ADF-GLS检验)推广到面板数据,得到了同期相关面板数据退势单位根检验,称为SUR-ADF-GLS检验.通过蒙特卡洛试验研究发现,SUR-ADF-GLS检验具有良好的小样本性质.并且,SUR-ADF-GLS检验关于面板数据的同期相关性结构存在着较强的"依存性".
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