基于AR(1)的多个结构突变点的面板单位根检验Testing for unit roots in panels allowing for multiple structural breaks based on AR
徐悦悦,刘利敏
Xu Yueyue,Liu Limin
摘要(Abstract)：
讨论了在AR(1)面板数据模型中,其个体效应上存在多个结构突变点的单位根检验问题.首先通过构造虚拟变量建立模型,假设模型中误差项为序列相关,得到模型的单位根检验统计量;然后在时间维度T有限横截面维度N无穷时得到统计量的渐近分布;最后利用蒙特卡洛模拟验证检验结果并进行实证分析,对中原经济区的宏观经济变量GDP进行单位根检验,结果表明考虑两个结构突变点后的GDP数据是平稳的.
In this paper,it discusses the unit root tests of panel data which allow for multiple structural breaks in the individual effects of the AR(1)panel data model.Firstly,the model is established by constructing virtual variables with serial correlation in error terms,so that we could get statistics of the unit root.Then,the limiting distribution of test statistics could be obtained when the time-dimension of the panel Tis limited and the cross-section Nis infinite.Lastly,the result of testing is verified by Monte Carlo experiments with empirical analysis.The testing result to macroeconomic variables GDP indicates that the data is stationary under the consideration of multiple structural breaks.
关键词(KeyWords)：
面板数据;单位根;结构突变;检验统计量
panel data;unit roots;structural breaks;test statistics
基金项目(Foundation): 国家自然科学基金(71203056);; 河南师范大学研究生科研创新项目(YL201603);河南师范大学博士科研启动项目(QD14153)
作者(Author):
徐悦悦,刘利敏
Xu Yueyue,Liu Limin
DOI: 10.16366/j.cnki.1000-2367.2018.03.003
参考文献(References)：
- [1]Dickey D,Fuller W.distribution of the estimators for autoregressive time series with a unit root[J].Journal of the American Statistical Association,1979,74(366):427-431.
- [2]Dickey D,Fuller W.Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root[J].Econometrica,1981,49(4):1057-1072.
- [3]Arellano M.Panel Data Econometrics[M].New York:Oxford University Press,2003.
- [4]Arellano M,HonoréB.Panel data models:some recent developments[M].North Holland:Handbook of Econometrics,2002.
- [5]Baltagi B H,Kao C.Nonstationary panels,cointegration in panels and dynamic panels:a survey[J].Center for Policy Research Working Papers,2000,15:7-51.
- [6]Harris R D F,Tzavalis E.Inference for unit roots in dynamic panels where the time dimension is fixed[J].Journal of Econometrics,1999,91(2):201-226.
- [7]Hahn J,Kuersteiner G.Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large[J].Econometric,2002,70(4):1639-1657.
- [8]严全治,刘璐.基于面板数据模型的地方高校R&D经费投入与经济增长关系研究[J].河南师范大学学报(自然科学版),2017,45(3):70-76.
- [9]顾熹,廖志伟.基于相空间重构和高斯过程回归的短期负荷预测[J].电力系统保护与控制,2017,45(5):73-79.
- [10]白芳芳,乔冬梅,庞颖,等.河南省冬小麦各生育期水分亏缺的空间分布及降水量突变检验[J].灌溉排水学报,2017,36(6):100-108.
- [11]Bai J,Carrion-i-Silvestre J L.Structural changes,common stochastic trends and unit roots in panel data[J].Review of Economic Studies,2009,76(2):471-501.
- [12]Carrion-i-Silvestre J L,Del Barrio-Castro T,Lopez-Bazo E.Level shifts in a panel data based unit root test[C]//Proceeding of the 2002North American Summer Meetings of the Econometric Society.[出版地不详]:[出版者不详],2002.
- [13]Chan F,Pauwels L L.Model specification in panel data unit root tests with an unknown break[J].Mathematics and Computers in Simulation,2011,81(7):1299-1309.
- [14]Karavias Y,Tzavalis E.Testing for unit roots in short panels allowing for a structural break[J].Computational Statistics and Data Analysis,2014,76:391-407.
- [15]De Blander R,Dhaene G.Unit root tests for panel data with AR(1)errors and small T[J].Econometrics Journal,2011,15(1):101-124.
- [16]Kiviet J F.On bias,inconsistency,and efficiency of various estimators in dynamic panel data models[J].Journal of Econometrics,1995,68(1):53-78.