Computing Limiting Local Powers and Power Envelopes of Panel MA Unit Root Tests and Stationarity Tetsts
Computing Limiting Local Powers and Power Envelopes of Panel MA Unit Root Tests and Stationarity Tetsts
复制标题
计算面板 MA 单位根检验和平稳性测试的限制局部幂和幂包络
DOI：
10.1017/s0266466618000324
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发表时间：
2018
影响因子：
0.8
通讯作者：
Katsuto Tanaka
中科院分区：
文献类型：
--
作者：
田中康平;元山斉;美添 泰人，荒木 万寿夫，元山 斉;景山 三平（監修），元山 斉，伊藤 有希，高橋 一(編集);Katsuto Tanaka;Katsuto Tanaka
本文讨论两类模型的面板单位根检验。一种是移动平均（MA）模型，另一种是误差分量模型。我们对这些模型进行评分类型测试，允许各种类型的回归量，并通过提出一种有效的计算限制局部幂的方法来明确检查横截面效应。研究发现，尽管异质回归量会影响，但公共回归量的存在不会影响检验的渐近行为。我们还推导了一些简单面板模型的极限功率包络，这表明分数类型面板测试是渐近有效的，与时间序列情况不同。
The present article discusses panel unit root tests for two classes of models. One is the moving average (MA) model and the other is the error components model. We conduct score type tests for these models, allowing for various types of regressors, and examine the cross-sectional effect explicitly by presenting an efficient way of computing limiting local powers. It is found that the existence of common regressors does not affect the asymptotic behavior of tests, although heterogeneous regressors do. We also derive the limiting power envelopes for some simple panel models, which shows that the score type panel tests are asymptotically efficient, unlike the time series case.