Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices
非平稳面板的子抽样假设检验：汇率与股票价格应用AI 解读 ↓
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非平稳面板的子抽样假设检验：汇率与股票价格应用
- 研究问题
- 在允许非平稳、截面相关及截面协整的面板中，如何不估计干扰参数而近似检验分布，并构造可靠的检验临界值？
- 方法与思路
- 作者采用子抽样近似有限样本分布，在截面个体数固定、时间维度趋于无穷的框架下分析有效性，并应用于面板单位根检验。
- 材料陈述的贡献
- 摘要称，子抽样恢复相应面板检验的渐近分布，所得检验具有一致性；汇率购买力平价和股指相对均值回归均仅获混合支持。
- 阅读关注点
- 应核对子抽样块长选择、非平稳与截面协整的允许形式，以及固定截面渐近理论对各项单位根检验和实际样本的适用性。
- 阅读边界
- 仅据所给 Crossref 摘要，不能判断块长敏感性、检验功效或经验结论强度；固定截面的理论保证不能直接推广到大截面情形。
原文摘要
Abstract This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross‐sectionally correlated, and cross‐sectionally cointegrated. The subsampling approach provides approximations to the finite sample distributions of the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special cases. The number of cross‐sectional units is assumed to be finite and that of time‐series observations infinite. It is shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel tests. In addition, the tests using critical values from subsampling are shown to be consistent. The subsampling methods are applied to panel unit root tests. The panel unit root tests considered are Levin, Lin, and Chu's ( 2002 ) t ‐test; Im, Pesaran, and Shin's ( 2003 ) averaged t ‐test; and Choi's ( 2001 ) inverse normal test. Simulation results regarding the subsampling panel unit root tests and some existing unit root tests for cross‐sectionally correlated panels are reported. In using the subsampling approach to examine the real exchange rates of the G7 countries and a group of 26 OECD countries, we find only mixed support for the purchasing power parity (PPP) hypothesis. We then examine a panel of 17 developed stock market indexes, and also find only mixed empirical support for them exhibiting relative mean reversion with respect to the US stock market index. Copyright © 2007 John Wiley & Sons, Ltd.