EVA M, SWEEEY R 3,. ;. McDonough ; 3., 3006 ; ; F4.0 A Levin Lin(99) Im, Pesaran Shin(996) Levin Lin(99) Oh(996),Wu(996) Paell(997) Im, Pesaran Shin(996) Canzoner Cumby Diba(999) Levin Lin(99) Coe Helman(995) R&D Sillovers Im, Pesaran Shin(996) Lee, Pesaran Smih(997) O Connell(998) O Connell FGLS Sweeney(000) SUR O Connell(998) Sweeney(000)
Levin Lin(99) Im, Pesaran Shin(996) Coe Helman(995) Sweeney Li(999) --- Levin Lin(99) Im, Pesaran Shin(996) Levin Lin(99) Im, Pesaran Shin(996) Levin Lin(99) Im, Pesaran Shin(996). Levin Lin(99) z i z zˆ i, = zi, zi ~ z = zˆ zˆ z i = z z ˆ = zˆ = i= - Dickey-Fuller ~ z i, ~ = ~ + ε 3 z z
ε = i =,,, ~ z ~ z i= = ˆ = 4 ~ z i= = ~ ˆ = z 5 i= = ˆ σ ˆ σ ( ~ z ~ z ) = i= = = Levin Lin(99) µ --- ( ˆ ) (0,0. ) µ.5 µ µ (0,), µ = + o( ) µ = + o( ) Levin Lin(99) 0, 6 ( ˆ ) + 3 (0,0.).5 +.875 (0,) - Augmened Dickey-Fuller - ~ k z = ~ z + φ j ~ z ζ j + j= 6 ζ k = ~ z I() Levin Lin(99) (6) (6) ~ z i, = ---. Im, Pesaran Shin(996) z i Im, Pesaran Shin(996) -
ki = i ~ z ~ + φ j z j + 7 j= ~ z ζ ζ k i (6) (7) Levin Lin(99) Im, Pesaran Shin(996) - Levin Lin(99) Im,Pesaran Shin(996) Levin Lin(99) [] Im, Pesaran Shin(996) Im,Pesaran Shin(996) (7) i = i =,..., Im, Pesaran Shin(996) --- Γ Γ = E( ) 8 Var( ) / / ( ~ ) ˆ ( ˆ ~ ) = i= z = ( ) ( ~ z z ), E ) i = ( Var( ) --- Γ Im, Pesaran Shin(996) Im, Pesaran Shin(996) (7) --- Γ 3 Levin Lin(99) Im, Pesaran Shin(996), 3., - Ω - 3
Ω z i = z + (0,), i =,,, =,,,, z 0 = 0 () () Levin Lin(99) - (6) ~ z i, Im, Pesaran Shin(996) - (7) ~ z i, 0,000, ε ε 3. O Connell,998 Sweeney,000 - Ω - Ω - Ω, - Ω - Ω Ω = C Λ C = P P C Ω Λ Ω P C / Λ { ε } E = i, (0,) i=,,, =,,, cov( ) I E = / U = P E = C Λ E ε 4
z i = z +, z 0 = 0 i =,,, =,,, cov( U ) = E[ U U ] = E[ P = P cov( E ) P = C Λ, µ / E I E Λ / P C = P = C E( E Λ E C ) P = Ω - - () () z Levin Lin(99) - (6) ~ z i, Im, Pesaran Shin(996) - (7) ~ z i, 0,000 4 4. Engle Granger(987) Engle Granger --- Y Y Y Y α + π = 8 Engle Granger(987) Y Y --- Levin Lin(99) Im, Pesaran 5
Shin(996) Y Y (9) Y Y 4. --- (9) Y Y Y Y Y (9) Levin Lin(99) Im, Pesaran Shin(996) π ˆ --- (9) αˆ - Ω - - - i, - Ω, - Ω i -, - i π ˆ π ˆ 6
= ˆ α + π Y ˆ Y, αˆ π i Y i, Y, Y i, i Y i, (9) Y = b + τ ˆ τ Y () () ˆ - (6) (7) ~τ 0,000 0,000 (9) Y 5 τ 7
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Some Mone Carlo Exerimens on Panel Uni-Roo ess & Panel Coinegraion ess EVAS M, SWEEEY R, LI Zhi-hong 3 (. Dearmen of Economics, Georgeown Universiy, Washingon DC 0057, USA;. McDonough School of Business, Georgeown Universiy, Washingon DC 0057, USA; 3. Human Sudies Insiue, he Science and echnique Universiy, Changsha 3006, China) Absrac: In his aer, we firsly develo some Mone Carlo rocedures o generae he finie-samle densiy disribuions for anel uni-roo es saisics accouning for cross-secional roeries. A simle Mone Carlo framework is hen develoed o generae he finie-samle densiy disribuions for single-equaion anel coinegraion es saisics accouning for he underlying hyoheical coinegraing relaionshi. Keywords: anel daa; uni-roo es; coinegraion es 003-07-03 Levin Lin(993) Im, Pesaran Shin(996) Y π ˆ 9