{"title":"横截面相关面板数据中无单位根的局部最优检验","authors":"K. Hadri, Eiji Kurozumi","doi":"10.15057/22026","DOIUrl":null,"url":null,"abstract":"This paper develops a simple test for the null hypothesis of no unit root for panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in Pesaran (2007) in the unit root testing context. We show that our test is asymptotically locally optimal, although the optimality is not guaranteed under a wide range of the alternative.","PeriodicalId":43705,"journal":{"name":"Hitotsubashi Journal of Economics","volume":"52 1","pages":"165-184"},"PeriodicalIF":0.2000,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"19","resultStr":"{\"title\":\"A LOCALLY OPTIMAL TEST FOR NO UNIT ROOT IN CROSS-SECTIONALLY DEPENDENT PANEL DATA*\",\"authors\":\"K. Hadri, Eiji Kurozumi\",\"doi\":\"10.15057/22026\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper develops a simple test for the null hypothesis of no unit root for panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in Pesaran (2007) in the unit root testing context. We show that our test is asymptotically locally optimal, although the optimality is not guaranteed under a wide range of the alternative.\",\"PeriodicalId\":43705,\"journal\":{\"name\":\"Hitotsubashi Journal of Economics\",\"volume\":\"52 1\",\"pages\":\"165-184\"},\"PeriodicalIF\":0.2000,\"publicationDate\":\"2011-12-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"19\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Hitotsubashi Journal of Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.15057/22026\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Hitotsubashi Journal of Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.15057/22026","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"ECONOMICS","Score":null,"Total":0}
A LOCALLY OPTIMAL TEST FOR NO UNIT ROOT IN CROSS-SECTIONALLY DEPENDENT PANEL DATA*
This paper develops a simple test for the null hypothesis of no unit root for panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in Pesaran (2007) in the unit root testing context. We show that our test is asymptotically locally optimal, although the optimality is not guaranteed under a wide range of the alternative.
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