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1、SomestatisticsinEconometricsandtheirdevelopmentsShaopingWangSchoolofEconomics,HuazhongUniversityofScienceandTechnology,Wuhan,ChinaIntroduction—ClassictestsinEconometricsMorebroadly:hypothesiscouldbesetaslinearornonlinear.LikelihoodRatiotest:Waldtest:LMtest:ThreePrevailingTestsi
2、neconometricsIntroductionDWtestforfirstautocorrelationI(1)tests:tstatisticsanditsdistribution-DFandADFdistributionWhat’sdifferencefortheDFandADFdistributionADFtestandPPtestforI(1)processSomeissues3.1宏观计量非平稳（单位根I(1)）过程:3.1宏观计量非平稳（单位根I(1)）过程:单位根检验时间序列yt,yt=yt-1+ut,零假设和备择假设分别是，H0
3、：=1，（yt~I(1))H1：<1，（yt~I(0)）3.1宏观计量非平稳（单位根I(1)）过程:单位根检验时间序列yt,yt=yt-1+ut,零假设和备择假设分别是，H0：=1，（yt~I(1))H1：<1，（yt~I(0)）用DF统计量进行单位根检验。t=~DFdistribution3.1宏观计量非平稳（单位根I(1)）过程:单位根检验时间序列yt,yt=yt-1+ut,零假设和备择假设分别是，H0：=1，（yt~I(1))H1：<1，（yt~I(0)）用DF统计量进行单位根检验。t=~DFdistribution协整协整是对
4、非平稳经济变量长期均衡关系的统计描述.非平稳经济变量间存在的均衡关系称作协整关系.定义:如果{X1t,X2t,…,Xkt}~I(1)，Zt=X~I(0),=(1,2,…,k)，那么{X1t,X2t,…,Xkt}协整，记为,Xt~CI(1,0)，是协整向量.上图说明:X(t),Y(t)~I(1),Z(t)=0.3Y(t)+0.5X(t)~I(0)IntroductionPanelunitroottest:SurveybyHurlinandMignon(2004)AssumecrosssectionalindependenceLevinand
5、Lin(1992,1993);Levin,LinandChu(2002);HarrisandTzavalis(1999);Im,PesaranandShin(1997,2003);MaddalaandWu(1999);Choi(1999,2001)AssumecrosssectionaldependenceFlôres,PreumontandSzafarz(1995);TayorandSarno(1998);BreitungandDas(2004);BaiandNg(2001,2004);MoonandPerron(2004);Phillipsand
6、Sul(2003);Pesaran(2003);Choi(2002);Chang(2002)IntroductionChang(2002)ANIVestimationChangtestPerformanceofChangtestwithmoderatetohighcrosssectionaldependencyThisPaperATwoStepTestImprovedtheperformanceChang’sModel(1):coefficientonthelaggeddependentvariable:errortermwhichfollowsth
7、eAR(p)process:(2):lagoperator:autoregressivecoefficient:someintegerthatisknownandfixedWeareinterestedintestingforallVSforsomeHypothesisModelAssumptionsToensuretheAR(p)processin(2)isinvertibleAssumption1:forallandTorestrictthedistributionoferrortermAssumption2:Denote(1)areindepe
8、ndentandidenticallydistributedanditsdistributionisabso
