面板单位根检验局部幂的统一方法

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摘要翻译：
本文对非平稳面板数据文献中最重要的问题之一面板单位根检验的精确局部渐近幂提出了一种统一的方法。本文系统地研究了两个应用最广泛的面板单位根检验，即Levin-Lin-Chu(LLC，Levin，Lin and Chu(2002))和Im-Pesaran-Shin(IPS，Im，Pesaran and Shin(2003))检验。我们的方法是基于特征函数的，可以直接用于推导这些检验统计量在零和局部到单位方案下的渐近分布的矩。对于LLC测试，该方法提供了一种获得现有方法所能得到的结果的替代方法。对于IPS检验，得到了新的结果，填补了文献中由于IPS检验是不可容许的结果较少的空白。此外，我们的方法在导出这些测试的Edgeworth展开方面也有优势，文中也给出了这些测试的Edgeworth展开。模拟结果说明了我们的理论发现。
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英文标题：
《A Unified Approach on the Local Power of Panel Unit Root Tests》
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作者：
Zhongwen Liang
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最新提交年份：
2017
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Statistics        统计学
二级分类：Computation        计算
分类描述：Algorithms, Simulation, Visualization
算法、模拟、可视化
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一级分类：Statistics        统计学
二级分类：Methodology        方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
--

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英文摘要：
  In this paper, a unified approach is proposed to derive the exact local asymptotic power for panel unit root tests, which is one of the most important issues in nonstationary panel data literature. Two most widely used panel unit root tests known as Levin-Lin-Chu (LLC, Levin, Lin and Chu (2002)) and Im-Pesaran-Shin (IPS, Im, Pesaran and Shin (2003)) tests are systematically studied for various situations to illustrate our method. Our approach is characteristic function based, and can be used directly in deriving the moments of the asymptotic distributions of these test statistics under the null and the local-to-unity alternatives. For the LLC test, the approach provides an alternative way to obtain the results that can be derived by the existing method. For the IPS test, the new results are obtained, which fills the gap in the literature where few results exist, since the IPS test is non-admissible. Moreover, our approach has the advantage in deriving Edgeworth expansions of these tests, which are also given in the paper. The simulations are presented to illustrate our theoretical findings.
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PDF链接：
https://arxiv.org/pdf/1710.02944

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关键词：面板单位根检验 面板单位根 单位根检验 econometrics distribution 局部 应用 LLC 结果 panel