Panel cointegration testing in the presence of a time trend
Panel cointegration testing in the presence of a time trend
复制标题
存在时间趋势的面板协整检验
DOI：
10.1016/j.csda.2012.05.017
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发表时间：
2014
期刊：
影响因子：
--
通讯作者：
Karaman Örsal
中科院分区：
文献类型：
--
作者：
Karaman Örsal
提出了一种新的基于似然的面板协整检验，该检验允许数据生成过程中存在线性时间趋势。该检验是似然比类型检验的扩展，在对面板数据框架进行检验之前进行趋势调整。在零假设下，标准化统计量具有极限正态分布，因为时间段的数量和横截面的数量依次趋于无穷大。此外，还引入了一个基于一阶向量自回归过程的矩近似。Monte Carlo研究表明，该检验在有限样本中具有合理的规模和较高的功效。
A new likelihood-based panel cointegration test which allows a linear time trend in the data generating process is proposed. The test is an extension of the likelihood ratio type test with trend adjustment prior to testing to the panel data framework. Under the null hypothesis, the standardized statistic has a limiting normal distribution as the number of time periods and the number of cross-sections tend to infinity sequentially. Additionally, an approximation involving the moments based on a vector autoregressive process of order one is introduced. A Monte Carlo study demonstrates that the test has reasonable size and high power in finite samples.