縱剖面樣本有限條件下的面板協整檢驗

Testing for Panel Cointegration Where the Time Dimension is Finite

10.6704/JMSSD.2006.3.4.18

王貴鵬(Gui-Peng Wang)

面板資料 ； 面板協整 ； Mento Carlo模擬 ； Panel data ； Panel cointegration ； Mento Carlo simulation

管理科學與統計決策

3卷4期（2006 / 12 / 01）

18 - 24

繁體中文

本文考察一種縱剖面時間序列樣本有限條件下的面板協整檢驗方法，檢驗的零假設是存在協整關係，這種方法可以看作是Hadri(2005)有關面板單位根結論的推廣。文章的結論表明這種檢驗的漸近分佈是正態的從而不受多餘參數的影響，同時，由於統計量的矩可以解析地表示，因此可以大大改進檢驗的小樣本性質。在縱剖面樣本T有限條件下構建的統計量也避免了對N和T施加的約束條件從而使得檢驗的適用性大大加強。最後，小樣本Mento Carlo類比表明此檢驗的實際水準(size)非常接近名義水準並且具有較高的勢(power)。

This paper presents a new test of panel cointegration to the case where the time dimension of the panel is finite. The null hypothesis of the test is that there exist cointegration relationship and this test can be seen as the expands of the panel unit root tests of Hadri(2005).The results of the paper show that the asymptotic distributions of the tests are normally distributed and free of Nuisance parameters. Moreover, the moments of the tests are derived analytically and can improve the finite sample size and power of the test. The derivation of the test under finite T make test suitable for more (N,T) combination. The Mento Carlo simulation results show that the empirical size of the test very close to the nomial level and the power of the test also relative high.

1. Badi H Baltage,Chihwa Kao..Nonstationary Panels, Cointegration In Panels and Dynamic Panels: A Survey.Advances in Econometrics,15,7-52.
2. Banerjee. A(1999).Panel unit root and cointegration: An overview. Oxford.Bulletin of Economics and Statistics,61,607-630.
3. Hadri K,Larsson R.(2005).Testing for stationary in heterogeneous panel data where the time dimension is finite.Econometrics Journal,8,55-69.
4. Hadri, K.(2000).Testing for stationary in Heterogenous Panel Data.Econometrics Journal,3,148-161.
5. Hamilton. J.D(1994).Time Series Analysis.Preinceton, New Jersey:Princeton University Press.
6. Kao, C,Chen, B(1995).Residual-Based Tests for Cointegration in Panel data when the Cross-section and Time-series Dimension are Comparable.
7. Kao, C,Chen. B(1994).On the estimation and inference of a cointegrated regression in panel data when the cross-section and time-series dimensions are comparable.
8. Kao. C,Chiang, M-H(1997).On the estimation and inference of a cointegrated regression in panel data.
9. McCoskey. S,Kao. C(1998).A residual-based test of the null of cointegration in panel data.Econometric Reviews,17,57-84.
10. Working paper
11. Pedroni, P.(2004).Panel cointegration: Asymptotic and finite sample series tests with an application to the PPP hypothesis.Econometric Theory,20,597-625.
12. Working paper
13. Pedroni, P.(1995).Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests, with an Application to the PPP Hypothesis.Indiana University working papers in economics 95-013.
14. Pedroni, P.(2001).Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests, with an Application to the PPP Hypothesis.Revised working paper.
15. Phillips, P C.B(2000).Nonstationary panel data analysis: An overview of some recent development.Econometric Reviews,19,263-286.
16. Phillips, P C.B,Moon. H.R(1999).Linear regression limit theory for nonstationary panel data.Econometrica,67(1111)