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A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
Econometric Theory ( IF 0.8 ) Pub Date : 2022-03-15 , DOI: 10.1017/s0266466622000044
Yohei Yamamoto 1 , Tetsushi Horie 2
Affiliation  

The left-tailed unit-root tests of the panel analysis of nonstationarity in idiosyncratic and common components (PANIC) proposed by Bai and Ng (2004, Econometrica 72, 1127–1177) have standard local asymptotic power. We assess the size and power properties of the right-tailed version of the PANIC tests when the common and/or the idiosyncratic components are moderately explosive. We find that, when an idiosyncratic component is moderately explosive, the tests for the common components may have considerable size distortions, and those for an idiosyncratic component may suffer from the nonmonotonic power problem. We provide an analytic explanation under the moderately local to unity framework developed by Phillips and Magdalinos (2007, Journal of Econometrics 136, 115–130). We then propose a new cross-sectional (CS) approach to disentangle the common and idiosyncratic components in a relatively short explosive window. Our Monte Carlo simulations show that the CS approach is robust to the nonmonotonic power problem.



中文翻译:

适度局部到统一框架下右尾恐慌测试的横截面方法

Bai 和 Ng (2004, Econometrica 72 , 1127–1177) 提出的异质和公共成分非平稳性面板分析 (PANIC) 的左尾单位根检验具有标准局部渐近幂。当常见和/或特殊成分适度爆炸时,我们评估 PANIC 测试的右尾版本的大小和功率属性。我们发现,当特殊成分适度爆炸时,对共同成分的测试可能会出现相当大的尺寸失真,而对特殊成分的测试可能会遇到非单调幂问题。我们在 Phillips 和 Magdalinos(2007 年,计量经济学杂志)开发的适度局部到统一框架下提供了分析解释136、115–130)。然后,我们提出了一种新的横截面 (CS) 方法,以在相对较短的爆炸窗口中解开常见和特殊的成分。我们的蒙特卡罗模拟表明 CS 方法对非单调幂问题具有鲁棒性。

更新日期:2022-03-15
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