Panel Cointegration Testing in the Presence of Common Factors

Panel Cointegration Testing in the Presence of Common Factors
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存在共同因素时的面板协整检验

DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
J. Urbain
J. Urbain
中科院分区：
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文献类型：
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作者：
C. Gengenbach;F. Palm;J. Urbain

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当这一假设被违反时，依赖于面板单元横截面独立性的面板单位根和无协整检验会经历严重的尺寸扭曲，如Banerjee、Marcellino和Osbat（2004,2005）通过蒙特卡罗模拟所显示的那样。最近有几项研究解决了面板单位根检验的这个问题，使用共同因素结构来模拟横截面相关性，但面板无协整检验的工作还不多。本文继Bai和Ng（2004）对面板单位根的研究之后，提出了一个使用未观察到的共因子结构的面板无协整模型。该模型使我们能够区分两种重要的情况：(i)数据中的非平稳性是由减少数量的共同随机趋势驱动的情况，以及（ii）数据中存在共同和特殊随机趋势的情况。我们研究了Kao（1999）和Pedroni（1999, 2004）提出的一些现有的基于残差的面板无协整的渐近行为。在使用的DGP下，检验统计量不再是渐近正态的，收敛发生在速率T而不是独立面板的sqrt(N)T。然后，我们检查了残差为基础的无协整检验的性质，适用于已提取的共同因素和个别成分的分解数据。
Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has e.g. been shown by Banerjee, Marcellino and Osbat (2004, 2005) via Monte Carlo simulations. Several studies have recently addressed this issue for panel unit root test using a common factor structure to model the cross-sectional dependence, but not much work has been done yet for panel no-cointegration tests. This paper proposes a model for panel no-cointegration using an unobserved common factor structure, following the work on Bai and Ng (2004) for panel unit roots. The model enables us to distinguish two important cases: (i) the case when the non-stationarity in the data is driven by a reduced number of common stochastic trends, and (ii) the case where we have common and idiosyncratic stochastic trends present in the data. We study the asymptotic behavior of some existing, residual-based panel no-cointegration, as suggested by Kao (1999) and Pedroni (1999, 2004). Under the DGP used, the test statistics are no longer asymptotically normal, and convergence occurs at rate T rather than sqrt(N)T as for independent panels. We then examine the properties of residual-based tests for no-cointegration applied to defactored data from which the common factors and individual components have been extracted.