论文检索

理解面板单位根检验局部渐近功效的新工具AI 解读

Motivated by the previously documented discrepancy between actual and predicted power, the present paper provides new tools for analyzing the local asymptotic power of panel unit root tests. These tools are appropriate in general when considering panel data with a dominant autoregressive root of the form ρi=1+ciN−κT−τ, where i=1,…,N indexes the cross-sectional units, T is the number of time periods and ci is a random local-to-unity parameter. A limit theory for the sample…

随机系数面板模型中的单位根检验AI 解读

This paper proposes new unit root tests in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distributions of the test statistics are derived and simulation results are provided to suggest that they perform very well in small samples.

关于个体 PANIC 单位根检验合并的说明AI 解读

One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. The problem is that the asymptotic validity of PANIC as a platform for constructing pooled panel unit root tests based on averaging is not fully proven. This paper provides the required results, whose usefulness…

New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in four major economies in Europe: France, Germany, Italy and the United Kingdom for the post‐Bretton Woods period. We test for purchasing power parity (PPP) between these four countries and find that the theoretical PPP relationship does not hold. However, the estimated unrestricted relationship is found to be remarkably close to the theoretical one (1, −1.5, 0.9 instead of 1,…

长面板协整模型的统计推断AI 解读

This article presents a general likelihood-based framework for inference in panel vector autoregressive (VAR) models with cointegration restrictions. The cointegrating relationships are restricted to each cross section while the rest of the model is unrestricted. The homogeneous restriction of common cointegrating space is also considered. Asymptotic distributions of parameter estimators and the test statistics for the cointegrating rank and the homogeneous restriction are…

时间维度有限时异质面板数据的平稳性检验AI 解读

and hence makes the test valid for any (T, N) combination. The asymptotic distributions of the tests are derived under the null and are shown to be normally distributed. Their moments for T fixed are derived analytically using Ghazal's (1994, Statistics and Probability letters 20, 313--319) 1 lemma 1. Finite sample size and power are considered in a Monte Carlo experiment. The proposed tests have empirical sizes that are very close to the nominal 5% level. The Monte Carlo…

异质面板中基于似然的协整检验AI 解读

This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this, the asymptotic distribution of the test statistic is shown to be normal. The small-sample size and power properties are investigated using Monte Carlo simulations. An empirical…

多元自回归序列中二次型的联合矩母函数AI 解读

Let { X t } follow a discrete Gaussian vector autoregression with deterministic components. We derive the exact finite-sample joint moment generating function (MGF) of the quadratic forms that form the basis for the sufficient statistic. The formula is then specialized to the limiting MGF of functionals involving multivariate and univariate Ornstein–Uhlenbeck processes, drifts, and time trends. Such processes arise asymptotically from more general non-Gaussian processes and…

KPSS 检验的有限样本分布AI 解读

This paper gives numerical approximations of the finite sample distribution of the KPSS test statistic. We use two types of approximations depending on whether we estimate the long-run variance or not. In the known variance case we apply a very simple Laplace inversion formula, while in the unknown case we use saddlepoint approximation to calculate the right-hand tail of the distribution of the KPSS test statistic. In the unknown variance case, we also investigate the…

协整对数似然比检验渐近分布的近似AI 解读

Tail approximation of the asymptotic distribution of the log likelihood ratio test for cointegration in a vector autoregressive process is studied. In dimension 2, an approximation of weighted χ 2 type is derived by applying multivariate saddlepoint approximation techniques to a Fourier inversion integral.

自回归模型中单位根检验的分布近似AI 解读

The present work applies saddlepoint approximation to calculate the left-hand tail of the distribution of the unit root t test and an asymptotic equivalent test under the null hypothesis of a unit root. (This is the tail of interest when testing against a stationary alternative.) The saddlepoint equation is solved numerically. Distribution approximations are obtained both in the asymptotic and finite-sample cases. In the finite-sample case, two slightly different methods are…

多变量自回归序列中二次型的联合矩母函数AI 解读

Let ( X 1 ) be a discrete multivariate Gaussian autoregressive process of order 1. The paper derives the exact finite-sample joint moment generating function (m.g.f.) of the three quadratic forms constituting the sufficient statistic of the process. The formula is then specialized to some cases of interest, including the m.g.f. of functional of multivariate Ornstein-Uhlenbeck processes that arise asymptotically from more general ( X 1 ) processes as well.

近积分 AR 过程中若干检验统计量的渐近分布AI 解读

Asymptotic distributions of some test statistics in near-integrated AR processes are studied. Some exact formulas for the distribution functions are given as well as approximative results obtained by saddlepoint approximation techniques.