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Research on Testing Methods in Panel Data Models

Author: ChenHaiYan
Tutor: YangBaoChen
School: Tianjin University
Course: Technology Economics and Management
Keywords: Panel Data Unit root test Cointegration test Structural changes Heteroscedasticity Cross-section related
CLC: F224
Type: PhD thesis
Year: 2010
Downloads: 1273
Quote: 3
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Abstract


Panel data model test method research is one of the important content of modern econometrics, and has significant theoretical and practical significance. The content of this paper on panel heteroskedasticity and serial correlation test, panel unit root tests and panel cointegration test system, improvement and development of a panel data model test method. The major innovations are: (1) the the heteroscedasticity deterministic test methods apply to one-way fixed effects model and random effects model. Heteroscedastic panel regression model, with individual and time effects due to the error term with a variety of situations, a lot of inconvenience to the empirical research. An inspection within the framework of the seven types of heteroscedastic the unidirectional panel regression model, the individual effects and time effects in the error term separation heteroscedasticity type a deterministic test methods and steps improve inspection efficiency. Total consumption of the application of China's urban residents living consumption and income data for the empirical analysis confirmed the usefulness of the heteroscedasticity type deterministic test method. (2) through Monte Carlo simulation study found that the traditional panel unit root test panel data with mean structural changes only very different number of samples before and after the mutation or the mean change significantly, or N or T greatly when was not will result in failure of the unit root test results; traditional panel unit root tests on panel data trends to generate pseudo test the possibility of very large. Description of the structural changes in the neglect panel unit root test results will lead to serious distortion. (3) proposed a LSTR-IPS panel unit root test method. Smooth correction techniques in order to reduce the impact of structural changes on the panel unit root test, correct the IPS unit root test has a higher efficacy the LSTR-IPS panel unit root test method than the traditional simulation study, and when the sample size the more large LSTR-IPS-examination, the higher the efficacy, especially with the time T increases, test power rise. Application of China's economic growth data stationarity test, indicating that economic growth trend stationary process with structural changes rather than order one process, LSTR-IPS test can more accurately judge panel data stationarity. (4) take into account structural changes to asymptotic and step-by-step features smooth panel cointegration test of Westerlund and Edgerton (2008) correction proposed a LSTR model considering section panel variable structure cointegration test, based on the principle of the two test statistics LM test demonstrated without structural change point and sectional impact asymptotically normal distribution, and through a simulation study illustrates the use of the smooth transfer function correction panel co integration test method has higher test power.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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