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A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence
http://hdl.handle.net/10086/16355
http://hdl.handle.net/10086/16355db815b9a-47e0-4f8b-945d-8d55d76d6017
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
070ccesDP_007.pdf (292384 bytes)
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| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||||||
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| 公開日 | 2017-05-20 | |||||||||||||
| タイトル | ||||||||||||||
| タイトル | A Simple Panel Stationarity Test in the Presence of Cross-Sectional Dependence | |||||||||||||
| 言語 | en | |||||||||||||
| 作成者 |
Hadri, Kaddour
× Hadri, Kaddour
× 黒住, 英司
WEKO
27
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| 寄与者 | ||||||||||||||
| 寄与者タイプ | Editor | |||||||||||||
| 姓名 | Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University | |||||||||||||
| 言語 | en | |||||||||||||
| アクセス権 | ||||||||||||||
| アクセス権 | open access | |||||||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | Panel data | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | stationarity | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | KPSS test | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | cross-sectional dependence | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | LM test | |||||||||||||
| 主題 | ||||||||||||||
| 主題Scheme | Other | |||||||||||||
| 主題 | locally best test | |||||||||||||
| 出版者 | ||||||||||||||
| 出版者 | Center for Research on Contemporary Economic Systems, Graduate School of Economics, Hitotsubashi University | |||||||||||||
| 日付 | ||||||||||||||
| 日付 | 2008-12 | |||||||||||||
| 日付タイプ | Issued | |||||||||||||
| 言語 | ||||||||||||||
| 言語 | eng | |||||||||||||
| 資源タイプ | ||||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||||||
| 資源タイプ | technical report | |||||||||||||
| 出版タイプ | ||||||||||||||
| 出版タイプ | VoR | |||||||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||||
| 関連情報 | ||||||||||||||
| 関連タイプ | isPartOf | |||||||||||||
| 関連名称 | CCES Discussion Paper Series ; No. 7 | |||||||||||||
| ページ数 | ||||||||||||||
| ページ数 | 35 | |||||||||||||
| JEL | ||||||||||||||
| 値 | C12 | |||||||||||||
| JEL | ||||||||||||||
| 値 | C33 | |||||||||||||
| 抄録（第三者提供不可） | ||||||||||||||
| 値 | This paper develops a simple test for the null hypothesis of stationarity in heterogeneous panel data with cross-sectional dependence in the form of a common factor in the disturbance. We do not estimate the common factor but mop-up its effect by employing the same method as the one proposed in Pesaran (2007) in the unit root testing context. Our test is basically the same as the KPSS test but the regression is augmented by cross-sectional average of the observations. We also develop a Lagrange multiplier (LM) test allowing for cross-sectional dependence and, under restrictive assumptions, compare our augmented KPSS test with the extended LM test under the null of stationarity, under the local alternative and under the fixed alternative, and discuss the differences between these two tests. We also extend our test to the more realistic case where the shocks are serially correlated. We use Monte Carlo simulations to examine the finite sample property of the augmented KPSS test. | |||||||||||||
