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    题名: 一致性多變量單根檢定之建立與比較
    其它题名: A New Consistent Test for Unit Root in Panel Data
    作者: 郭炳伸
    关键词: 單根檢定;一致性;靴帶法
    Root test;Consistency;Bootstrap
    日期: 2000
    上传时间: 2007-04-18 16:36:14 (UTC+8)
    出版者: 臺北市：國立政治大學國際貿易學系
    摘要: 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.
    描述: 核定金額：575100元
    数据类型: report
    显示于类别:[國際經營與貿易學系 ] 國科會研究計畫

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