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題名 一致性多變量單根檢定之建立與比較
其他題名 A New Consistent Test for Unit Root in Panel Data
作者 郭炳伸
關鍵詞 單根檢定;一致性;靴帶法
Root test;Consistency;Bootstrap
日期 2000
上傳時間 18-Apr-2007 16:36:14 (UTC+8)
Publisher 臺北市：國立政治大學國際貿易學系
摘要 The paper develops a new test for panel unit root. The test suggested is a panel version of the Dicky-Fuller-type test. By taking full advantage of trending properties in data, the test is consistent at a rate faster than that considered in Levin, Lin and Chu (1997). The use of a pooled hyper-consistent estimator of unit root in panel regressions renders this feasible. The limit distribution of the test under the null, established by letting time series (T) and cross-sectional units (N) go to infinity is shown to be a standard normal. Our bootstrap tests are found to have correct rejection probability even for narrow and short panels, and to exhibit better power than the Im-Pesaran-Shin test statistics in large panels.
描述 核定金額：575100元
資料類型 report
dc.coverage.temporal 計畫年度：89 起迄日期：19990801～20000731en_US
dc.creator (作者) 郭炳伸zh_TW
dc.date (日期) 2000en_US
dc.date.accessioned 18-Apr-2007 16:36:14 (UTC+8)en_US
dc.date.accessioned 8-Sep-2008 15:48:59 (UTC+8)-
dc.date.available 18-Apr-2007 16:36:14 (UTC+8)en_US
dc.date.available 8-Sep-2008 15:48:59 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2007 16:36:14 (UTC+8)en_US
dc.identifier (Other Identifiers) 892415H004002.pdfen_US
dc.identifier.uri (URI) http://tair.lib.ntu.edu.tw:8000/123456789/3800en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/3800-
dc.description (描述) 核定金額：575100元en_US
dc.description.abstract (摘要) The paper develops a new test for panel unit root. The test suggested is a panel version of the Dicky-Fuller-type test. By taking full advantage of trending properties in data, the test is consistent at a rate faster than that considered in Levin, Lin and Chu (1997). The use of a pooled hyper-consistent estimator of unit root in panel regressions renders this feasible. The limit distribution of the test under the null, established by letting time series (T) and cross-sectional units (N) go to infinity is shown to be a standard normal. Our bootstrap tests are found to have correct rejection probability even for narrow and short panels, and to exhibit better power than the Im-Pesaran-Shin test statistics in large panels.-
dc.format applicaiton/pdfen_US
dc.format.extent bytesen_US
dc.format.extent 1133254 bytesen_US
dc.format.extent 1133254 bytes-
dc.format.extent 1186 bytes-
dc.format.mimetype application/pdfen_US
dc.format.mimetype application/pdfen_US
dc.format.mimetype application/pdf-
dc.format.mimetype text/plain-
dc.language zh-TWen_US
dc.language.iso zh-TWen_US
dc.publisher (Publisher) 臺北市：國立政治大學國際貿易學系en_US
dc.rights (Rights) 行政院國家科學委員會en_US
dc.subject (關鍵詞) 單根檢定;一致性;靴帶法-
dc.subject (關鍵詞) Root test;Consistency;Bootstrap-
dc.title (題名) 一致性多變量單根檢定之建立與比較zh_TW
dc.title.alternative (其他題名) A New Consistent Test for Unit Root in Panel Data-
dc.type (資料類型) reporten