Multivariate Unit Root Tests and Testing for Convergence
Multivariate Unit Root Tests and Testing for Convergence
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多元单位根检验和收敛性检验
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
R. Bates
中科院分区：
文献类型：
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作者：
A. Harvey;R. Bates
我们检查了多元dickey-fuller t统计量的特性，旨在测试面板中的单位根，同时考虑横截面依赖性。提出了渐近分布并提供了临界值。当出现截距时，可以实施沿艾略特，罗滕伯格和股票（1996）的修改。这些测试具有不变属性，即使串联数量超过时间段的数量，也可以执行。非零的初始条件实际上提高了（未修改的）Dickey-Fuller测试的功率，证实它们对于测试该系列正在收敛的假设有用。典型的应用是在相当长的时间内观察到的适度串联数量。给出的例子是从1950年至1999年每年观察到的六个美国地区的每资本收入。
We examine the properties of a multivariate Dickey-Fuller t-statistic designed to test for a unit root in a panel while taking account of cross-sectional dependence. The asymptotic distribution is presented and critical values provided. When intercepts are present, a modification along the lines of Elliot, Rothenberg and Stock (1996) can be implemented. The tests have invariance properties and can be carried out even if the number of series exceeds the number of time periods. Non-zero initial conditions actually boost the power of the (unmodified) Dickey-Fuller tests confirming that they are useful for testing the hypothesis that the series are in the process of converging. Typical applications are for a moderate number of series observed over a reasonably long period of time. The example given is for the per capital incomes of six US regions observed annually from 1950 to 1999.
的存在
DOI：
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发表时间：
2004
期刊：
Journal of Clinical Pathology 57・9
影响因子：
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作者：
Saito T;Oda Y;Tamiya S;et al.;Nakayama H
通讯作者：
Nakayama H