面板协整,FMOLS, DOLS分析

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1、PanelUnitRoot,Cointegration,FMOLS,DOLSYihuaYuRenminUniversityofChina1BackrgoundStartingwiththeworkingpaperversionsofQuah(1994)andBreitungandMeyer(1994)thatwereavailablealreadyin1989,theliteratureconcernedwiththeanalysisofunitrootsinpaneldatacoversmorethan20yearsSomeofthesearewell-known,othe

2、rsarenotButtheyallhaveincommonthatifignoredtheeffectscanbeveryseriousviamethodsofeithersimulationsortheoreticalreasoning2Tradtionalv.sPanelUnitRootTests3VariousTypesofPanelUnitRootTestsvThemainlimitofthesetestsisthattheyareallconstructedundertheassumptionthattheindividualtimeseriesinthepanel

3、arecross-sectionallyindependentlydistributed,whenonthecontraryalargeamountofliteratureprovidesevidenceofthecomovementsbetweeneconomicvariables.4Levin,LinandChu(2002)TestforPanelUnitLLCtest,likeBreitung’s(2000)test,assumehomogeneousautoregressivecoefficientsbetweenindividual,i.e.ρ=ρiforalli,Li

4、mitations:1.testdependscruciallyontheindependenceassumptionacrossindividuals;2.ARcoefficientisassumedtobeequalacrossthepanel(Thenullmakessenseundersomecircumstances,butasMaddalaandWu(1999)pointedout,thealternativeistoostrongtobeheldinanyinterestingempiricalcases.)5Im,PesaranandShin(2003)Testf

5、orPanelUnitThistestallowsforresidualserialcorrelationandheterogeneityofthedynamicsanderrorvariancesacrossgroupsIPS,ADF–Fisher,andPPtestspresentedbyMaddalaandWu(1999)assumeanindividualunitrootprocess,that’s,ρisassumedtobedifferentforeachprovince.Requiresabalancedpanel(sameasthatintheADF-Fis

6、her)6Breitung’s(2000)TestforPanelUnitNarayanandNarayan(2008)Doesenvironmentalqualityinfluencehealthexpenditures?EmpiricalevidencefromapanelofselectedOECDcountries.EcologicalEconomics65,367-374.7ComparisonsbetweenTestsforPanelUnitRootMonteCarlosimulationsshowthatIPStestismorepowerfulthanLLCBr

7、eitung(2000)findsthatbothtestssufferforadramaticlossofpowerifindividualspecifictrendsareincludedAdirectcomparisonbetweenLLCandt-bar(IPS)testisnotpossiblebecausetheypresentsomerelevantdifferences.Evenifbothtestshavethesamenullhypothesis,theal