Error Correction Testing in Panels with Common Stochastic Trends
Error Correction Testing in Panels with Common Stochastic Trends
复制标题
具有常见随机趋势的面板中的纠错测试
DOI：
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
J. Westerlund
中科院分区：
文献类型：
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作者：
C. Gengenbach;J. Urbain;J. Westerlund
本文对具有共同随机趋势的模型中无误差修正的零假设进行了面板数据检验。推导了新检验统计量的渐近分布，并给出了模拟结果，表明它们在小样本情况下表现良好。版权所有©2015 John Wiley&Sons，Ltd.
This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples. Copyright © 2015 John Wiley & Sons, Ltd.