异方差稳健性面板单位根检验的正向趋势

IF 0.8 4区 经济学 Q3 ECONOMICS Econometric Reviews Pub Date : 2022-11-28 DOI:10.1080/07474938.2022.2135495
H. Herwartz, Simone Maxand, Yabibal M. Walle
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引用次数: 0

摘要

大多数经济时间序列的方差随着时间的推移表现出明显的波动。在这种情况下,所谓的第一代和第二代面板单位根检验并不稳健。针对这一问题,提出了几种异方差稳健性面板单位根检验方法。然而,这些测试的一个重要限制是,如果数据呈趋势,它们就会失效。Breitung的(未加权)前向去趋势方案作为面板单位根假设下漂移平差的重要手段,在数据具有时变方差的情况下存在干扰参数。在本文中,我们提出了一种加权前向趋势方案。与未加权方案不同,当应用于具有异方差方差的趋势面板时,新的趋势方案恢复了Demetrescu、hank和Herwartz等人提出的异方差稳健面板单位根检验的枢纽性。作为一个实证说明,我们提供的证据,有利于非平稳性的医疗支出占GDP的份额在一个小组的经合组织经济体。
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Forward detrending for heteroskedasticity-robust panel unit root testing
Abstract The variances of most economic time series display marked fluctuations over time. Panel unit root tests of the so-called first and second generation are not robust in such cases. In response to this problem, a few heteroskedasticity-robust panel unit root tests have been proposed. An important limitation of these tests is, however, that they become invalid if the data are trending. As a prominent means of drift adjustment under the panel unit root hypothesis, the (unweighted) forward detrending scheme of Breitung suffers from nuisance parameters if the data feature time-varying variances. In this article, we propose a weighted forward-detrending scheme. Unlike its unweighted counterpart, the new detrending scheme restores the pivotalness of the heteroskedasticity-robust panel unit root tests suggested by Demetrescu and Hanck and Herwartz et al. when applied to trending panels with heteroskedastic variances. As an empirical illustration, we provide evidence in favor of non-stationarity of health care expenditures as shares of GDP in a panel of OECD economies.
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来源期刊
Econometric Reviews
Econometric Reviews 管理科学-数学跨学科应用
CiteScore
1.70
自引率
0.00%
发文量
27
审稿时长
>12 weeks
期刊介绍: Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.
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