Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes
Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes
复制标题
使用非线性仪器进行无限阶自回归过程的面板单位根测试
DOI：
10.2202/1941-1928.1009
复制
发表时间：
2009
影响因子：
0.8
通讯作者：
M. Demetrescu
中科院分区：
文献类型：
--
作者：
M. Demetrescu
在可逆一般线性过程具有弱可和性条件的假设下，研究了Chang（2002，Journal of Econometrics 110，261-292）的非线性IV面板单位根检验的渐近零分布.在检验回归中采用p阶自回归近似，其中p与样本大小T一起增长到无穷大。进行分析的条件是相当相似的那些通常假设的增广Dickey-Fuller测试，除了对一般的线性过程的创新施加的条件;这些满足更严格的条件所需的非线性IV框架。当p比T的平方根低一个数量级时，建立了非线性IV（面板）单位根检验的渐近正态性。此外，发现滞后水平系数的非线性IV估计的收敛速度低于平方根T，从而导致残差方差估计的不一致性.对这个问题提出了两个简单的解决办法。
The asymptotic null distribution of the nonlinear IV panel unit root test due to Chang (2002, Journal of Econometrics 110, 261-292) is examined under the assumption of an invertible general linear process with a weak summability condition. An autoregressive approximation of order p, with p growing to infinity jointly with the sample size T is employed in the test regression. The conditions under which the analysis is conducted are fairly similar to those usually assumed for the augmented Dickey-Fuller test, with the exception of the conditions imposed on the innovations of the general linear process; these satisfy much stricter conditions needed for the nonlinear IV framework. The asymptotic normality of the nonlinear IV (panel) unit root test is established when p is of a magnitude order lower than the square root of T. Furthermore, the convergence rate of the nonlinear IV estimator of the coefficient associated to the lagged level is found to be lower than square root T, thus leading to inconsistency of the residual variance estimator. Two simple solutions to this problem are suggested.