CAJ | 학술논문

本文研究了DF类面板数据单位根IPS检验势受时序数据初始值的影响,推导了DF类面板单位根IPS检验统计量在局部备择假设下的极限分布和局部渐近势函数,发现了DF类面板数据单位根IPS检验统计量局部渐近势在异质性局部备择假设下是初始条件的单调递增函数;小样本Monte Carlo模拟分析结果表明,若假设初始条件为零,DF类IPS统计量的检验势将被低估。
본문연구료DF류면판수거단위근IPS검험세수시서수거초시치적영향,추도료DF류면판단위근IPS검험통계량재국부비택가설하적겁한분포화국부점근세함수,발현료DF류면판수거단위근IPS검험통계량국부점근세재이질성국부비택가설하시초시조건적단조체증함수;소양본Monte Carlo모의분석결과표명,약가설초시조건위령,DF류IPS통계량적검험세장피저고。
Under the situation where the deviation of the initial observation in each individual time series may not be asymptomatically negligible, we derive the local asymptomatic distribution and power function of Dickey-Fuller family panel unit root test of IPS without deterministic terms. We find that the power is the monotonous function of the initial conditions under heterogeneous local alternative hypothesis. Monte Carlo simulations of small sample demonstrate that the power of DF family of IPS test could be underestimated if the initial condition is assumed to be zero.