کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095975 | 1376495 | 2015 | 35 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
New tools for understanding the local asymptotic power of panel unit root tests
ترجمه فارسی عنوان
ابزارهای جدید برای درک قدرت آستانه محلی از آزمایشات ریشه پانل
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
Motivated by the previously documented discrepancy between actual and predicted power, the present paper provides new tools for analyzing the local asymptotic power of panel unit root tests. These tools are appropriate in general when considering panel data with a dominant autoregressive root of the form Ïi=1+ciNâκTâÏ, where i=1,â¦,N indexes the cross-sectional units, T is the number of time periods and ci is a random local-to-unity parameter. A limit theory for the sample moments of such panel data is developed and is shown to involve infinite-order series expansions in the moments of ci, in which existing theories can be seen as mere first-order approximations. The new theory is applied to study the asymptotic local power functions of some known test statistics for a unit root. These functions can be expressed in terms of the expansions in the moments of ci, and include existing local power functions as special cases. Monte Carlo evidence is provided to suggest that the new results go a long way toward bridging the gap between actual and predicted power.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 188, Issue 1, September 2015, Pages 59-93
Journal: Journal of Econometrics - Volume 188, Issue 1, September 2015, Pages 59-93
نویسندگان
Joakim Westerlund, Rolf Larsson,