面板协整检验中的混合信号

CTIT technical reports series Pub Date : 2006-12-15 DOI:10.17877/DE290R-14299

C. Hanck

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引用次数: 5

摘要

时间序列协整检验，即使在存在大样本量的情况下，也经常产生相互矛盾的结论(“混合信号”)，特别是通过经验p值的低相关性来衡量[见Gregory等人，2004年，Journal of Applied Econometrics]。使用他们的方法，我们提出的证据表明，混合信号的问题仍然存在于流行的面板协整检验。正如预期的那样，残余测试和基于系统的测试之间的相关性比同一组测试之间的相关性更弱。

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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Mixed Signals Among Panel Cointegration Tests

Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (“mixed signals”) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied Econometrics]. Using their methodology, we present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than between tests of the same group.

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CTIT technical reports series

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