PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
面板协整：合并时间序列检验的渐近与有限样本性质及购买力平价应用AI 解读 ↓
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AI 根据所提供的论文材料归类：摘要直接研究异质动态面板的协整检验，并以购买力平价这一宏观关系作应用。
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面板协整：合并时间序列检验的渐近与有限样本性质及购买力平价应用
- 研究问题
- 在短期动态、长期斜率、固定效应和趋势均可因个体而异的动态面板中，如何检验不存在协整的零假设？
- 方法与思路
- 作者构造基于残差的组内合并与组间均值检验，推导极限分布，并以蒙特卡洛和布雷顿森林体系后的数据示例说明。
- 材料陈述的贡献
- 摘要称所构造检验具有不含干扰参数的正态极限分布，报告小样本尺寸与功效证据，并应用于购买力平价检验。
- 阅读关注点
- 应核对横截面依赖条件、样本维度的渐近安排、两类统计量的标准化，以及购买力平价应用的变量和样本范围。
- 阅读边界
- 仅据所给 RePEc 出版社摘要；横截面依赖限制和应用结论未说明，不能推断任意面板下有效或其他版本变化。
原文摘要
We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel. The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests. We derive limiting distributions for these and show that they are normal and free of nuisance parameters. We also provide Monte Carlo evidence to demonstrate their small sample size and power performance, and we illustrate their use in testing purchasing power parity for the post–Bretton Woods period.I thank Rich Clarida, Bob Cumby, Mahmoud El-Gamal, Heejoon Kang, Chiwha Kao, Andy Levin, Klaus Neusser, Masao Ogaki, David Papell, Pierre Perron, Abdel Senhadji, Jean-Pierre Urbain, Alan Taylor, and three anonymous referees for helpful comments on various earlier versions of this paper. The paper has also benefited from presentations at the 1994 North American Econometric Society Summer Meetings in Quebec City, the 1994 European Econometric Society Summer Meetings in Maastricht, and workshop seminars at the Board of Governors of the Federal Reserve, INSEE-CREST Paris, IUPUI, Ohio State, Purdue, Queens University Belfast, Rice University–University of Houston, and Southern Methodist University. Finally, I thank the following students who provided assistance in the earlier stages of the project: Younghan Kim, Rasmus Ruffer, and Lining Wan.