Testing For Stationarity In Heterogeneous Panel Data In The Presence Of Cross-section Dependence

MONICA GIULIETTI; JESUS OTERO; JEREMY SMITH

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Testing For Stationarity In Heterogeneous Panel Data In The Presence Of Cross-section Dependence

机译：在横截面相关的情况下测试异构面板数据中的平稳性

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摘要

The panel variant of the KPSS tests developed by Hadri [Hadri, K., 2000, Testing for stationarity in heterogeneous panels. Econometrics Journal, 3,148-161] for the null of stationarity suffers from size distortions in the presence of cross-section dependence. However, applying the bootstrap methodology, we find that these tests are approximately correctly sized.

机译：由Hadri [Hadri，K.，2000，异构面板中的平稳性测试]开发的KPSS测试的面板变体。 [Econometrics Journal，3，148-161]对于平稳性无效的问题，在存在横截面相关性的情况下遭受尺寸扭曲。但是，应用自举方法，我们发现这些测试的大小大致正确。

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来源
《Journal of statistical computation and simulation》 |2009年第2期|p.195-203|共9页
作者
MONICA GIULIETTI; JESUS OTERO; JEREMY SMITH;
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作者单位

Aston Business School, University of Aston, UK;

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收录信息美国《科学引文索引》(SCI);
原文格式 PDF
正文语种 eng
中图分类
关键词
heterogeneous dynamic panels; monte carlo; bootstrap; unit root tests; cross-section dependence;

机译：异质动态面板;蒙特卡洛;自举;单位根检验;截面依赖性;

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1. TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION [J] . Yao Rao, Kaddour Hadri, Ruijun Bu Bulletin of economic research . 2010,第3期

机译：在模型不正确的情况下测试异构面板数据中的稳态
2. TESTING FOR STATIONARITY IN HETEROGENEOUS PANEL DATA IN THE CASE OF MODEL MISSPECIFICATION [J] . Yao Rao, Kaddour Hadri, Ruijun Bu Bulletin of Economic Research . 2010,第3期

机译：在模型不正确的情况下测试异构面板数据中的稳态
3. Testing for stationarity in heterogeneous panel data where the time dimension is finite [J] . KADDOUR HADRI, ROLF LARSSON The econometrics journal . 2005,第1期

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4. An Empirical Test of Influence of Corporation Control and Shareholding on Development Investment in Electronic Information Industry by Panel Data Model and Cross-Section Data Model [C] . Yaozhong Chang International Academic Workshop on Social Science . 2013

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5. Essays on Testing Hypotheses When Non-Stationarity Exists in Panel Data Models. [D] . Na, Sang Gon. 2011

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7. Testing for stationarity in heterogeneous panel data\ud in the presence of cross section dependence [O] . Giulietti, Monica, Otero, Jesus, Smith, Jeremy (Jeremy P.) 2006

机译：测试异构面板数据中的平稳性\ ud 在存在截面依赖性的情况下

Testing For Stationarity In Heterogeneous Panel Data In The Presence Of Cross-section Dependence

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