修正N固定时截面相关性的新型面板协整检验

IF 2.9 4区经济学 Q1 ECONOMICS

Econometrics Journal Pub Date : 2015-07-14 DOI:10.1111/ectj.12054

Kaddour Hadri, Eiji Kurozumi, Yao Rao

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引用次数: 3

摘要

本文提出了新的单方程和面板协整检验方法。在这两种情况下，检验的渐近分布都是标准正态分布，它们是由N固定和导出的。序列相关和横截面依赖的影响通过长期方差消除。我们推导出一个有效的偏差校正，它在有限的样本中表现良好，特别是当N小于t时。我们的面板测试对可能的跨单元协整具有鲁棒性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Novel panel cointegration tests emending for cross-section dependence with N fixed

In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic distributions of the tests, which are derived with N fixed and , are shown to be standard normals. The effects of serial correlation and cross-sectional dependence are mopped out via long-run variances. An effective bias correction is derived, which is shown to work well in finite samples, particularly when N is smaller than T. Our panel tests are robust to possible cointegration across units.

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来源期刊

Econometrics Journal 管理科学-数学跨学科应用

CiteScore

4.20

自引率

5.30%

发文量

审稿时长

>12 weeks

期刊介绍： The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.