政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/3800

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 國科會研究計畫 > Item 140.119/3800

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/3800

Title:	一致性多變量單根檢定之建立與比較
Other Titles:	A New Consistent Test for Unit Root in Panel Data
Authors:	郭炳伸
Keywords:	單根檢定;一致性;靴帶法 Root test;Consistency;Bootstrap
Date:	2000
Issue Date:	2007-04-18 16:36:14 (UTC+8)
Publisher:	臺北市：國立政治大學國際貿易學系
Abstract:	The paper develops a new test for panel unit root. The test suggested is a panel version of the Dicky-Fuller-type test. By taking full advantage of trending properties in data, the test is consistent at a rate faster than that considered in Levin, Lin and Chu (1997). The use of a pooled hyper-consistent estimator of unit root in panel regressions renders this feasible. The limit distribution of the test under the null, established by letting time series (T) and cross-sectional units (N) go to infinity is shown to be a standard normal. Our bootstrap tests are found to have correct rejection probability even for narrow and short panels, and to exhibit better power than the Im-Pesaran-Shin test statistics in large panels.
Description:	核定金額：575100元
Data Type:	report
Appears in Collections:	[國際經營與貿易學系 ] 國科會研究計畫

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