统计研究

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基于傅里叶变换的含异质性结构突变的面板单位根检验

杨利雄等   

  • 出版日期:2016-02-15 发布日期:2016-03-02

A Panel Unit Root Test with Heterogeneous Structural Breaks Based on Fourier Transformation

Yang Lixiong et al.   

  • Online:2016-02-15 Published:2016-03-02

摘要: Lee等(2015)使用傅里叶变换近似结构突变建立了一个同时考虑结构突变和横截面相关的面板单位根检验,并证明具有优良的性质,该检验可以称为“第三代面板单位根检验”,然而其只能考虑同质的结构突变。本文建立了一个可以兼容异质性结构突变的傅里叶函数扩展型面板单位根检验,新检验也允许结构突变中含有包含多个频率的傅里叶函数。本文证明新建立的检验统计量不依赖于冗余参数且趋于正态分布。虽然正态分布的均值和方差是未知的,但可以使用蒙特卡洛模拟给出临界值。同时,模拟表明:新的面板单位根检验有良好的检验水平和检验功效。

关键词: 异质结构突变, 面板单位根检验, 傅里叶变换, 检验功效

Abstract: Using Fourier transformation to approximate structural changes, Lee et al. (2015) developed a panel unit root test which accommodates structural changes and cross-sectional dependence, and showed their test has good properties. Their test can be treated as “the third generation panel unit root test”. However, their test can only deal with homogeneous breaks. This paper proposes a Fourier function augmented panel unit root test, which can accommodate heterogeneous Fourier-from smooth breaks and allow the structural breaks with more than one frequency. We show that the proposed statistic doesn’t depend on the nuisance parameter and follows a normal distribution. Although the mean and variance of the normal distribution are unknown, the critical values can be given by Monte Carlo simulation. In addition, the simulations show that the new panel unit root test has good size control and satisfactory power.

Key words: Heterogeneous Structural Breaks, Panel Unit Root Test, Fourier Transformation, Test Power