Point-optimal panel unit root tests with serially correlated errors

被引：4
|
作者：
Moon, Hyungsik Roger [1 ,2 ]
Perron, Benoit [3 ]
Phillips, Peter C. B. [4 ,5 ]
机构：
[1] Univ So Calif, Dept Econ, Los Angeles, CA 90089 USA
[2] Yonsei Univ, Dept Econ, Seoul 120749, South Korea
[3] Univ Montreal, CIREQ, CIRANO, Montreal, PQ H3C 3J7, Canada
[4] Yale Univ, Cowles Fdn, New Haven, CT 06520 USA
[5] Univ Auckland, Dept Econ, Auckland 1142, New Zealand
来源：
ECONOMETRICS JOURNAL | 2014年 / 17卷 / 03期
基金：
美国国家科学基金会;
关键词：
Bias correction; Incidental trends; Long-run variance; Point-optimal test; Serial dependence;
D O I：
10.1111/ectj.12030
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Generalizations of the point-optimal panel unit root tests of Moon, Perron and Phillips (MPP) are developed to cover cases of serially correlated errors. The resulting statistics involve two modifications relative to those of MPP: (a) the error variance is replaced by the long-run variance; (b) centring of the statistic is adjusted to correct for second-order bias effects induced by the correlation between the error and lagged dependent variable.
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页码：338 / 372
页数：35
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