Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions
研究了经济变量二阶矩发生永久性变化时，同质面板单位根检验的表现，发现Herwartz和Siedenburg（2008）的检验统计量渐近服从标准正态分布，并通过模拟和Fisher假说的实证分析验证了其性能。
Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case the test statistic proposed by Herwartz and Siedenburg (2008) is asymptotically standard Gaussian. By means of a simulation study we illustrate the performance of first and second generation panel unit root tests and undertake a more detailed comparison of the test in Herwartz and Siedenburg (2008) and its heteroskedasticity consistent Cauchy counterpart introduced in Demetrescu and Hanck (2012a). As an empirical illustration, we reassess evidence on the Fisher hypothesis with data from nine countries over the period 1961Q2--2011Q2. Empirical evidence supports panel stationarity of the real interest rate for the entire subperiod. With regard to the most recent two decades, the test results cast doubts on market integration, since the real interest rate is diagnosed nonstationary.