パネル自己回帰単位根検定の漸近的性質に与える説明変数のクロスセクション効果

• 田中, 勝人

• Tanaka, Katsuto

書誌事項

タイトル別名

• Cross-Sectional Effects of Common and Heterogeneous Regressors on Asymptotic Properties of Panel Autoregressive Unit Root Tests
• パネル　ジコ　カイキ　タンイコン　ケンテイ　ノ　ザンキンテキ　セイヒツ　ニ　アタエル　セツメイ　ヘンスウ　ノ　クロス　セクション　コウカ

抄録

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The present paper deals with nonstationary panel autoregressive （AR） models, and examines crosssectional effects of regressors on the asymptotic properties of panel unit root tests for the AR（1） coefficient. We consider various types of common and heterogeneous regressors and compute limiting local powers of tests as T →∞ for each N, where T and N are the time and cross section dimensions, respectively. Dealing with tests based on the ordinary least squares estimator （OLSE） and the generalized LSE （GLSE）, we examine how common and heterogeneous regressors affect the tests as N becomes large. It is shown that the existence of common regressors does not affect the tests asymptotically as N →∞ . This means that the power of the tests remains the same even if the model contains common regressors. We further derive the limiting power envelopes of the most powerful invariant （MPI） tests, which yields the conclusion that the GLSE-based tests are asymptotically efficient, unlike the time series case.

収録刊行物

• 學習院大學經濟論集

  學習院大學經濟論集 55 (2-3), 35-60, 2018-10

  学習院大学経済学会

キーワード

• Asymptotically efficient test
• Common regressor
• Cross-sectional effect
• Heterogeneous regressor
• Moment generating function
• Numerical integration
• Panel unit root tests

詳細情報

• CRID: 1050001202931373696
• NII論文ID: 120006576801
• NII書誌ID: AN00038827
• HANDLE: 10959/00004571
• NDL書誌ID: 029846643
• ISSN: 00163953
• Web Site: https://glim-re.repo.nii.ac.jp/records/4579
• Web Site: http://id.ndl.go.jp/bib/029846643
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I029846643
• 本文言語コード: en
• 資料種別: departmental bulletin paper
• データソース種別:
  • IRDB
  • NDL
  • CiNii Articles