统计研究
統計研究
통계연구
Statistical Research
2015年
4期
85~90
,共null页
似然比类检验 局部备择假设 渐近分布
似然比類檢驗 跼部備擇假設 漸近分佈
사연비류검험 국부비택가설 점근분포
Likelihood Ratio Type Test; Local Alternative Hypothesis; Asymptotic distribution
本文采用似然比类检验统计量进行面板单位根检验（简称为LR检验）研究,在局部备择假设成立的条件下,推导了其在无确定项、仅含截距项以及存在线性时间趋势项三种模型下所对应的渐近分布与局部渐近势函数。Monte Carlo模拟结果显示,当面板数据中含确定项（截距项或时间趋势项）时,LR检验水平比LLC和IPS检验水平更接近给定的显著性检验水平;此外,当面板数据中包含发散个体时,经水平修正后的LR检验势要远远高于经水平修正后的LLC与IPS检验势,其中,经水平修正后的LLC与IPS检验势接近于零。
本文採用似然比類檢驗統計量進行麵闆單位根檢驗（簡稱為LR檢驗）研究,在跼部備擇假設成立的條件下,推導瞭其在無確定項、僅含截距項以及存在線性時間趨勢項三種模型下所對應的漸近分佈與跼部漸近勢函數。Monte Carlo模擬結果顯示,噹麵闆數據中含確定項（截距項或時間趨勢項）時,LR檢驗水平比LLC和IPS檢驗水平更接近給定的顯著性檢驗水平;此外,噹麵闆數據中包含髮散箇體時,經水平脩正後的LR檢驗勢要遠遠高于經水平脩正後的LLC與IPS檢驗勢,其中,經水平脩正後的LLC與IPS檢驗勢接近于零。
본문채용사연비류검험통계량진행면판단위근검험（간칭위LR검험）연구,재국부비택가설성립적조건하,추도료기재무학정항、부함절거항이급존재선성시간추세항삼충모형하소대응적점근분포여국부점근세함수。Monte Carlo모의결과현시,당면판수거중함학정항（절거항혹시간추세항）시,LR검험수평비LLC화IPS검험수평경접근급정적현저성검험수평;차외,당면판수거중포함발산개체시,경수평수정후적LR검험세요원원고우경수평수정후적LLC여IPS검험세,기중,경수평수정후적LLC여IPS검험세접근우령。
This paper proposes Likelihood Ratio （LR hereafter） type test statistics for testing unit roots in panels. Under the local alternative hypothesis, it derives the asymptotic distributions and power functions of the LR type test statistics based on the three models, i.e. without deterministic terms, with intercept and linear time trend. Monte Carlo simulations show that the empirical size of LR test is closer to the given significance level than that of LLC and IPS tests, when there are intercepts or time trends in models. In addition, when some units may be explosive in panel data, the size- adjusted power of LR test is much larger than that for LLC and IPS tests, whose size-adjusted power is close to zero in the cases.
