Cross‐sectional Dependency and Size Distortion in a Small‐sample Homogeneous Panel Data Unit Root Test*
研究同质面板数据单位根检验中横截面扰动相关性的影响，提出用已知估计量减少尺寸失真，并给出响应面临界值，发现该方法在小样本下表现良好，但会轻微降低检验功效。
Abstract In this paper, we investigate the effects of cross‐sectional disturbance correlation in a homogeneous panel data unit root test. As reported by other authors, the unit root test has incorrect size in the presence of cross‐sectional correlation. We suggest that a previously known estimator can be used to reduce the size distortions. We supply response surface estimates for critical values and study the size characteristics of the proposed test. We find that the suggested estimator performs well in small‐sample homogeneous panel data unit root tests. The reduction in size distortion comes at a small cost of lower power against a stationary alternative.