统计研究 ›› 2009, Vol. 26 ›› Issue (4): 91-100.
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段鹏 白仲林 张晓峒
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摘要： 本文通过蒙特卡洛模拟试验，研究了个体间的协整关系对面板单位根检验统计量分布、实际检验水平及检验功效的影响。结果显示：个体间协整关系个数和协整向量均对检验统计量分布产生影响；同时，如果忽视个体间存在的协整关系，继续运用个体间无协整关系条件下检验统计量的临界值进行面板单位根检验，各检验统计量实际检验水平将严重失真。
关键词: 协整, 蒙特卡洛模拟, 检验水平, 检验功效
Abstract: In the paper, We analysis the effects of cointegrations between the units of panel data on the distributions、sizes and powers of panel unit root test statistics via Monte Carlo simulations. The results reveal that: both the number of cointegrations between the units and the cointegration vectors of the units have effect on the distributions of the statistics; At the same time, if we ignore the cointegrations between the units, go on using the critical values of the statistics we get on the hypothesis that no cointegrations between the units, the sizes of the statistics will seriesly distort.
Key words: Cointegration, Monte Carlo Simulations, Size, Power
段鹏 白仲林 张晓峒. 个体协整条件下面板单位根检验统计量性质研究[J]. 统计研究, 2009, 26(4): 91-100.
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https://tjyj.stats.gov.cn/CN/Y2009/V26/I4/91
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