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Unit Root Test in Panel Data Basing on the Limiting Spectral Distribution of Large-Dimensional Random Matrix

机译:基于大尺寸随机矩阵的极限谱分布的面板数据中的单位根检验

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With the development of Computer information technology, large-dimensional panel data models have been introduced into the econometric researches during the past three decades, in order to solve the more and more complex economic phenomenons. As we know, the one-dimensional time series has the across time feature, so the panel data does. Then, when we confront with the panel data, we must be sure it is stationary. That means we should test unit root before regressing in order to avoid spurious regression. This article provides a new unit root test method for panel data which is basing on the theory of the limiting spectral distribution of large-dimensional random matrix.
机译:随着计算机信息技术的发展,近三十年来,大型面板数据模型已被引入计量经济学研究中,以解决越来越复杂的经济现象。众所周知,一维时间序列具有跨时间功能,面板数据也是如此。然后,当我们面对面板数据时,必须确保它是固定的。这意味着我们应该在回归之前测试单位根,以避免虚假回归。本文基于大维随机矩阵的极限谱分布理论,提供了一种新的面板数据单位根检验方法。

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