基于结构变化与共同因子串行效应的面板协整检验  

Testing Panel Cointegration with Serial Effect Between Structural Breaks and Common Factors

作　　者：陈海燕 CHEN Hai yan(National Research Center for Upper Yangtze Economy,Chongqing Technology and Business University,Chongqing 400067,Chin)

机构地区：[1]重庆工商大学长江上游经济研究中心,重庆400067

出　　处：《统计与信息论坛》2018年第8期12-19,共8页Journal of Statistics and Information

基　　金：国家社科基金项目<共同因子结构下非线性面板协整检验方法及应用研究>(12XTJ001);重庆市教委科技项目<面板数据模型基本结构交互效应的联合检验研究>(KJ1706179);重庆工商大学科研启动项目<面板数据结构诊断方法研究及其应用>(1255005)

摘　　要：面板数据中的结构变化和共同因子存在并行和串行两种作用方式。首先,对串行效应和并行效应的定义、后果进行说明,提出效应存在性的检验方法。然后,从模型设定、参数估计、检验统计量等方面提出串行效应协整检验理论框架,并推导了协整检验统计量的极限性质。最后,应用中国经济数据进行实证分析,验证了串行效应的存在,说明区分面板数据内在效应存在方式的重要性。There are parallel and serial ways of structure breaks and common factors in panel data. In this paper, the definition and consequence of serial effect and parallel effect are described and the test method of existence of effect is proposed. The theoretical framework of cointegration test with serial effect is proposed from the aspects of model setting, parameter estimation and test statistic, and the limit properties of cointegration test statistics are derived. Finally, the empirical analysis of China＇s economic data verifies the existence of serial effect, indicating the importance of distinguishing the existence of the intrinsic effect of panel data.

关 键 词：面板数据 协整 结构变化 共同因子 串行效应 

分 类 号：F224.0[经济管理—国民经济] O212.1[理学—概率论与数理统计]