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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/3800


    Title: 一致性多變量單根檢定之建立與比較
    Other Titles: A New Consistent Test for Unit Root in Panel Data
    Authors: 郭炳伸
    Keywords: 單根檢定;一致性;靴帶法
    Root test;Consistency;Bootstrap
    Date: 2000
    Issue Date: 2007-04-18 16:36:14 (UTC+8)
    Publisher: 臺北市:國立政治大學國際貿易學系
    Abstract: The paper develops a new test for panel unit root. The test suggested is a panel version of the Dicky-Fuller-type test. By taking full advantage of trending properties in data, the test is consistent at a rate faster than that considered in Levin, Lin and Chu (1997). The use of a pooled hyper-consistent estimator of unit root in panel regressions renders this feasible. The limit distribution of the test under the null, established by letting time series (T) and cross-sectional units (N) go to infinity is shown to be a standard normal. Our bootstrap tests are found to have correct rejection probability even for narrow and short panels, and to exhibit better power than the Im-Pesaran-Shin test statistics in large panels.
    Description: 核定金額:575100元
    Data Type: report
    Appears in Collections:[國際經營與貿易學系 ] 國科會研究計畫

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