A Panel Unit Root Test with Good Power in Small Samples
提出一种新的合并面板单位根检验，允许序列相关和同期相关，通过自举临界值提升小样本性能，并应用于布雷顿森林体系后实际汇率收敛分析。
We propose a new pooled panel unit root test allowing for serial and contemporaneous correlation. The test combines Elliott et al. (1996 Elliott , G. , Rothenberg , T. , Stock , J. H. ( 1996 ). Efficient tests for an autoregressive unit root . Econometrica 64 : 813 – 836 .[Crossref], [Web of Science ®] , [Google Scholar]) local-to-unity transformation with a pooled panel ADF test, and accounts for contemporaneous correlation by estimating the residual covariance matrix. The critical values are bootstrapped and Monte Carlo simulations demonstrate enhanced performances, especially when the series are highly persistent and the panel cross-sectional and time series dimensions are relatively small. An application of the test to the real exchange rate convergence for the post Bretton–Woods period leads to strong and reliable rejections of the unit root.