1、 _ K?Z 1_ K?Z 1, 2 2v 2 Zv 2= K1 8 1995-2005 _ sb ?Z V _ G _b H _ V4 ?Zs _b i ?Z B#x_#xZ9 G x_#9 B1 %5b 1oM x Abstract:The paper survey the development of panel unit root test from 1995 to 2005. the tests firstly based on independence of section, then dependence . simultaneity, independence panel un
2、it test progress from homogenous panel to heterogeneous panel. Panel spurious regression and. cointegration ,especially panel cointegration of dependence section, is noteworthy. How to test and estimate the panel cointegration is also a important question. sX9 6sB1 b sZE9?Z Kl v 5 _ x_b1s - ?Z L49 $
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4、 bN _ZE N b / /=s _ s 1 D #B5 1a _e + 5 L O 6/ 6 2004 M 11 2as !a Za Panel Datas ?Z8 b www.applstats.org/advanced/papers/Panel%20Data.doc _ K?Z 2 s i5# ?ZZ_ K b Ba _ V _ n5 L 9 M YbZ ?Z Gv4 4 n58 4 _ s _b1Panel Data1Tn Levin Lin19921993aQuah1994aIm 1997aMaddala Wu1999aPhillips HW t 9 8 HW+ yri O 1M1
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7、tyCy= 3Breitung, Jrg (2000). “The Local Power of Some Unit Root Tests for Panel Data,” in B. Baltagi (ed.), Advances in Econometrics, Vol. 15: Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Amsterdam: JAI Press, p. 161178. _ K?Z 5T 0,itc = t 1,iticy= t - ( ( 1) / ) ,it itiTcy t Ty= t
8、 b 1 Z T 16 *1it it ityyv= + L ! f /B“ * vS sb = as _ 1.3aImaPesaran ShinIPS_ 20034ImaPesaran Shin2003 I T / T 17i,t , 1 ,y i 1,2,.,N, t 1,2,.,Ttiit ity =+ + = = L !4L ! 0i11i1H : 0 iH : 0, i 1,2,.,N , 0, i N 1, 2,.,iNN=. L M i i.i.db O .5 L !N : 01:0,:0HH = M1Gv Phillips Sul(2003),L /By : T 30tttEF
9、v=+ tF d4 y S ,1( ,., )N = d ,1( ,., )ttNtvv v= _ . L_ * _ ,l T 311/2(* *) *F = l d9 / : T 32* * *1111111()TTttttttzYY YY = T 33* * *1/21111()TTtttttzYY YY =ttYY X= , Kl=E9 ,*1ttYFY = . Westerlund(2001) : T 341/2 1/2 112(, )TN z N N T 351/2 1 1/212 1(,)tzN N12(, )= sYV U Ki (Z . T 36*2 *2 *1100(, )i
10、iiiKwwdw= T 37* 11* 100()()iiiww wX X X=2.2aMaddala WuMW_ ,199977Maddala, G. S. and S. Wu (1999). “A Comparative Study of Unit Root Tests with Panel Data and A _ K?Z 9Im _5b WHq Bt5 n5 v Panel Data _B“ Im 1997 OL ! HW T MyN 0)0,p(tEiiT,i= 0)0,p(LMVariiT,i= B ( Panel Data ( Panel Data 1 E Y Q LL_ Y A
11、DF_41 tcTKBt Panel Data_ ?_ Elliott 1996 Perron-Ng19964 Panel Data T 1 ImYV Y HWr I n K M11 Tt 0M1 Maddala Wu C L W i M1 V ?e T YV Yith (rh“M1 Maddala Wu c P o Meta Analysisp Fish193241 _ZEii8 d9 P _ Fish _ Bd_ 4_ V9 d9 T 38Ni1-2 ( )iIn =V )N2(2 sbL ! f /i i_d9 Pb_ A d9 4“ vl1 r1 MaddalaWu L P1EBoot
12、strappingZE Z Panel Data_ O I n M1 Maddlala Wu 1oBV7 P Panel Data_ B zWOb 2.3dL M _nonlinear iv unit tests8 Ci_ZEL BMKb Nt_ZE T G V ? Tb Maddala Wu1999 ! E /?Z _T G HVCb?C Levin et al.(1997) Im et al.(1997) G rTb Yoosoon Chang(2002) - Aaugmented Dichey-FullerdL9 S dLM4 dL_b_d9 B M TS9i Ov sb Panel d
13、ata KbK1+ _ZE a G b1 / L / T 39,1, 1,., , 1,., ,it i i t it iyyu Nt T=+= = T iV U tV U HW HW TiV U B HW VM ad New Simple Test,” Oxford Bulletin of Economics and Statistics, 61, 63152. 8Yoosoon Chang (2002) Nonlinear IV unit root tests in panels with cross-sectional dependency Journal of Econometrics
14、 ,110,261-292. _ K?Z 10 b L uit /1B 3b T 40 ()iit itLu = T LV U 0 O T 41,1( ) 1 , 1,.,iipkikkzziN= =y ()iz piM 9 a G s bL1,., , , ( ) 0,iiNZ z= 5uit V I T 42 ()it i ituL = T11() () ,iipkiikLz z =, T 43,11,1 ,1 / (1) / (1)( )(1) ( )iiiippit it i j i t k i t kjkkit itiituuuuu +=+=+T,1 , ,1 ,(1) 1 / (1
15、), , (1)iiippit ij ijtkiijjk jkuu += =,L ! 1i = /5 T 4401(1) ( )tiitit ik i itkyu uu= +T1, 1,., ,tit ikkiN= 2 T T 45,1 ,1,1 ,1iiiipit i t ik i t k itkpit ik it k itkyy uyy =+ +=+) T t G 5 PdL M ,1()itFybs,1 ,( ,., )itit it pixy y= P b5SE i S L q T 56.it it it us iqpsp= PPP !L ! :0:it itHq= !4L ! :0,
16、1:,0it t i t itHq q k =+ + 1,., ; 1,.,iNtT= = it , ( b 9 n5 ! Y TN L qBs T 5711 12 121 22 222.NNTNTT NTqq qqq qYqq q = ! X TN L q b T 5811( )/( )GLStr X Y tr X X= 1( ), ,.,tt t t NtE = = a _ _1“ Z N a69aS=?nrb/18 s N LsM1Db N Ls |BinbBt N Lb Frankel Maddala ;McCoskey New Simple Test,” Oxford Bulleti
17、n of Economics and Statistics, 61, 63152. Maddala, G.S. and Wu, Shaowen. (1999). A Comparative Study of Unit Root Tests With Panel Data and A New Simple Test, Oxford Bulletin of Economics and Statistics 61, 631-652. Suzanne K. McCoskey&Thomas M. Selden(1998) . “ Health care expenditures and GDP: pan
18、el data unit root test results,” Journal of Health Economics 17 1998 369376. Taro Esaka2003 oPanel unit root tests of purchasing power parity between Japanese cities, 1960& 1998,pJapan and the World Economy 15 (2003) 233& 244. Yoosoon Chang (2002) Nonlinear IV unit root tests in panels with cross-se
19、ctional dependency.Journal of Econometrics, 110,261- 292. Kyung So Im, M. Hashem Pesaran, Yongcheol Shin, Testing for Unit Roots in Heterogeneous Panels. Journal of Econometrics, 2003, 115, 53-74. Breitung, Jrg (2000). “The Local Power of Some Unit Root Tests for Panel Data,” in B. Baltagi (ed.), Ad
20、vances in Econometrics, Vol. 15: Nonstationary Panels, Panel Cointegration, and Dynamic Panels, Amsterdam: JAI Press, p. 161178. Hardi, Kaddour (2000). “Testing for Stationarity in Heterogeneous Panel Data,” Econometric Journal, 3, 148161. Choi, I. (2001). “Unit Root Tests for Panel Data,” Journal o
21、f International Money and Finance, 20: 249272. Yoosoon Chang (2002) Nonlinear IV unit root tests in panels with cross-sectional dependency Journal of Econometrics, 110,261- 292. David A. Peel, Michael J. Peel& and Ioannis A. Venetis(2004). “Further empirical analysis of the time series properties of
22、 financial ratios based on a panel data approach ,”Applied Financial Economics, 14, 155& 163. D. AllenS. Cruickshank& G. MacDonald(2000) . “Purchasing Power Parity evidence from a new panel test ,” Jorg breitung &wolfgang meyer(1994) . “ testing for unit roots in panel data:are on different bargaini
23、ng levels coingegrated ,”Applied econometrics,1994,26,353-361. Taro Esaka2003. “Panel unit root tests of purchasing power parity between Japanese cities, 19601998,”Japan and the World Economy 15 (2003) 233244. Suzanne K. McCoskey&Thomas M. Selden(1998) . “ Health care expenditures and GDP: panel dat
24、a unit root test results,” Journal of Health Economics 17 1998 369376. John Barkoulas a,b, Christopher F. Baum c . “ Forward premiums and market efficiency: Panel unit-root evidence from the term structure of forward premiums,” Journal of Macroeconomics 25 (2003) 109& 122 Kausik Chaudhu& Jeffrey Sheen(2004),* Purchasing Power Parity Across States and Goods Within Australia. ,” The Economic Record, Vol. 80, NO. 250, 314329. Te 1974 3b 2v Z_ ?Zb 1976 3Zv 6p VZ_ b Tel.No 13585103432 “ 2vq g 27| 3 402 i 210093
