高级计量经济学 王少平.pptVIP

Some statistics in Econometrics and their developments Shaoping Wang School of Economics, Huazhong University of Science and Technology, Wuhan, China Introduction DW test for first autocorrelation I 1 tests : t statistics and its distribution-DF and ADF distribution What’s difference for the DF and ADF distribution ADF test and PP test for I 1 process Some issues 3.1宏观计量 非平稳（单位根I 1 ）过程: 3.1宏观计量 非平稳（单位根I 1 ）过程: 单位根检验 时间序列yt, yt ? yt-1 + ut , 零假设和备择假设分别是， H0：? 1， （ yt ~I 1 H1：? 1， （ yt ~I 0 ） 3.1宏观计量 非平稳（单位根I 1 ）过程: 单位根检验 时间序列yt, yt ? yt-1 + ut , 零假设和备择假设分别是， H0：? 1， （ yt ~I 1 H1：? 1， （ yt ~I 0 ） 用DF统计量进行单位根检验。 t ~DF distribution 3.1宏观计量 非平稳（单位根I 1 ）过程: 单位根检验 时间序列yt, yt ? yt-1 + ut , 零假设和备择假设分别是， H0：? 1， （ yt ~I 1 H1：? 1， （ yt ~I 0 ） 用DF统计量进行单位根检验。 t ~DF distribution 协整 协整是对非平稳经济变量长期均衡关系的统计描述.非平稳经济变量间存在的均衡关系称作协整关系. 定义: 如果 X1t,X2t,…,Xkt ~I 1 ， Zt ?X ~ I 0 , ? ?1,?2,…,?k ， 那么 X1t,X2t,…,Xkt 协整，记为,Xt~ CI 1,0 ，? 是协整向量. Introduction Panel unit root test: Survey by Hurlin and Mignon 2004 Assume cross sectional independence Levin and Lin 1992,1993 ; Levin, Lin and Chu 2002 ; Harris and Tzavalis 1999 ; Im, Pesaran and Shin 1997, 2003 ; Maddala and Wu 1999 ; Choi 1999,2001 Assume cross sectional dependence Fl?res, Preumont and Szafarz 1995 ; Tayor and Sarno 1998 ; Breitung and Das 2004 ; Bai and Ng 2001, 2004 ; Moon and Perron 2004 ; Phillips and Sul 2003 ; Pesaran 2003 ; Choi 2002 ; Chang 2002 Introduction Chang 2002 A NIV estimation Chang test Chang’s Model 1 : coefficient on the lagged dependent variable : error term which follows the AR p process: 2 : lag operator : autoregressive coefficient : some integer that is known and fixed Hypothesis We are interested in testing for all VS for some Model Assumptions To ensure the AR p process in 2 is invertible Assumption 1: for all and To restrict the distribution of error term Assumption 2: Denote 1 are independent and identi