Nonlinear IV panel unit root testing under structural breaks in the error variance
Nonlinear IV panel unit root testing under structural breaks in the error variance
复制标题
误差方差结构断裂下的非线性 IV 面板单位根测试
DOI：
--
复制
发表时间：
2013
期刊：
影响因子：
--
通讯作者：
C. Hanck
中科院分区：
文献类型：
--
作者：
M. Demetrescu;C. Hanck
本文研究了当序列误差表现为非平稳波动时，Chang（2002）提出的非线性IV单位根检验的推广形式的行为。这种非平稳波动的主要情况是误差方差的结构性突变。我们表明，广义检验是不稳健的方差变化一般，并说明了在有限样本的大小失真的程度。更重要的是，我们发现，当使用Eicker-White异方差一致的标准误差时，可以恢复完全性。这与Dickey-Fuller单位根检验的情况形成对比，对于Dickey-Fuller单位根检验，Eicker-White标准误差不产生鲁棒性，因此需要计算成本高的校正，例如（野生）自助法或所谓的方差分布估计。然而，广义IV检验的关键版本--有或没有正确的标准误--在零的$$1/T$$-邻域中没有功效。我们还研究了这里考虑的测试面板版本的有效性。
The paper examines the behavior of a generalized version of the nonlinear IV unit root test proposed by Chang (2002) when the series’ errors exhibit nonstationary volatility. The leading case of such nonstationary volatility concerns structural breaks in the error variance. We show that the generalized test is not robust to variance changes in general, and illustrate the extent of the resulting size distortions in finite samples. More importantly, we show that pivotality is recovered when using Eicker-White heteroskedasticity-consistent standard errors. This contrasts with the case of Dickey-Fuller unit root tests, for which Eicker-White standard errors do not produce robustness and thus require computationally costly corrections such as the (wild) bootstrap or estimation of the so-called variance profile. The pivotal versions of the generalized IV tests – with or without the correct standard errors – do however have no power in $$1/T$$-neighbourhoods of the null. We also study the validity of panel versions of the tests considered here.