横截面相关面板数据中无单位根的局部最优检验

IF 0.2 4区经济学 Q4 ECONOMICS Hitotsubashi Journal of Economics Pub Date : 2011-12-01 DOI:10.15057/22026

K. Hadri, Eiji Kurozumi

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引用次数: 19

摘要

本文发展了一个简单的检验无单位根的面板数据的零假设的横截面依赖形式的共同因素的干扰。我们不估计共同因素，而是通过采用与Pesaran(2007)在单位根测试环境中提出的方法相同的方法来消除其影响。我们证明了我们的测试是渐近局部最优的，尽管在广泛的备选方案下不能保证最优性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A LOCALLY OPTIMAL TEST FOR NO UNIT ROOT IN CROSS-SECTIONALLY DEPENDENT PANEL DATA*

This paper develops a simple test for the null hypothesis of no unit root for panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in Pesaran (2007) in the unit root testing context. We show that our test is asymptotically locally optimal, although the optimality is not guaranteed under a wide range of the alternative.

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