关键词: Panel协整检验, 准残差, 确定性趋势

Abstract: Panel cointegration test based on residual eliminates deterministic trends by regression with whole sample, which brings the Nickell Bias to its statistic and must be corrected by some standardized coefficients. Unfortunately, these standardized coefficients are dependent on the null parameters. This paper applies the method of eliminating deterministic trends by regression with partial sample, which advised by Breitung and Das (2005), to panel cointegration test, and advises a new approach for panel cointegration test which based on quasi-residual. We prove that the statistic of this new approach converges to standard normally distribution, the results of simulation also show that it has a good small sample performance.

Key words: Panel Cointegration Test, Quasi-residual, Deterministic Trends