کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096073 1376501 2015 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The effect of recursive detrending on panel unit root tests
ترجمه فارسی عنوان
اثر بازخوانی مجدد بر روی تست ریشه واحد پانل
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
This paper analyzes the properties of panel unit root tests based on recursively detrended data. The analysis is conducted while allowing for a (potentially) non-linear trend function, which represents a more general consideration than the current state of affairs with (at most) a linear trend. A new test statistic is proposed whose asymptotic behavior under the unit root null hypothesis, and the simplifying assumptions of a polynomial trend and iid errors are shown to be surprisingly simple. Indeed, the test statistic is not only asymptotically independent of the true trend polynomial, but also is in fact unique in that it is independent also of the degree of the fitted polynomial. However, this invariance property does not carry over to the local alternative, under which it is shown that local power is a decreasing function of the trend degree. But while power does decrease, the rate of shrinking of the local alternative is generally constant in the trend degree, which goes against the common belief that the rate of shrinking should be decreasing in the trend degree. The above results are based on simplifying assumptions. To compensate for this lack of generality, a second, robust, test statistic is proposed, whose validity does not require that the trend function is a polynomial or that the errors are iid.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 185, Issue 2, April 2015, Pages 453-467
نویسندگان
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