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求助,面板单位根Hadri检验结果怎么看? [推广有奖]

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面板数据 发表于 2009-6-17 16:10:55 |AI写论文

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Hadri检验结果如下,不知道取值是哪个呢?请教高手,谢谢啊!着急

. hadrilm lny
Hadri (2000) panel unit root test for lny
with 52 observations on 28 cross-sectional units
-----------------------------------------------------------
eps       Z(mu)    P-value      Z(tau)    P-value
-----------------------------------------------------------
Homo     164.365     0.0000     101.347     0.0000
Hetero   163.489     0.0000      90.857     0.0000
SerDep    18.066     0.0000      12.933     0.0000
-----------------------------------------------------------
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关键词:面板单位根 Had DRI observations observation 检验 面板 结果 单位 Hadri

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蓝色 发表于3楼  查看完整内容

帮助里面的介绍也很有用啊 hadrilm performs a test for stationarity in heterogeneous panel data (Hadri, 2000). This Lagrange Multiplier (LM) test has a null of stationarity, and its test statistic is distributed as standard normal under the null. The series may be stationary around a deterministic level, specific to the unit (i.e. a fixed effect) or around a unit-specific deterministic trend. ...

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沙发
蓝色 发表于 2009-6-17 16:21:28
我不懂。
最简单办法,你查Hadri (2000) 的文章,看看就明白了。

藤椅
蓝色 发表于 2009-6-17 16:23:05
帮助里面的介绍也很有用啊
hadrilm performs a test for stationarity in heterogeneous panel data (Hadri,
2000). This Lagrange Multiplier (LM) test has a null of stationarity, and its
test statistic is distributed as standard normal under the null.  The series
may be stationary around a deterministic level, specific to the unit (i.e. a
fixed effect) or around a unit-specific deterministic trend.  The error process
may be assumed to be homoskedastic across the panel, or heteroskedastic across
units. Serial dependence in the disturbances can also be taken into account
using a Newey-West estimator of the long run variance.  The residual-based test
is based on the squared partial sum process of residuals from a demeaning
(detrending) model of level (trend) stationarity.

Test results and p-values are placed in the return array.

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