【学习笔记 】单位根检验与面板数据的比较研究和一种新的简单检验（2） [推广有奖]

A Comparative study of unit roottests with panel data and a new simple test（2）

G. S. Maddala and Shaowen Wu

(H. D. Thoreau: Walden)

单位根检验与面板数据的比较研究和一种新的简单检验 --2

1，    Suggest modifications of the PP test to increasepower.

2，    There are now more powerful tests available evenin the single equation context. Suggest modifications of the PP test toincrease power.
        See, for example,：
        1）        Elliott, Rothenberg andStock (1996)
        2）        and also Perron and Ng(1996) who

3，    Present a review of the Levin±Lin tests
        It a simple alternativetests
        we shall present areview of the Levin±Lin tests, their extension by Im, Pesaran and Shin (1997),which will be referred to as the IPS test, due to Fisher (1932) which will bereferred to as the Fisher test.

4，    Then present someresults from Monte Carlo experiments comparing these three tests and someevidence from the bootstrap which allows for correlation in the errors.

5，    Finally, consider a test based on the Bonferroniinequality and conduct a Monte Carlo experiment to compare this test with theFisher test.

待继续学习。