A Simple Test for Nonstationarity in Mixed Panels
提出一个简单估计量，用于估计面板中具有单位根的比例，并检验该比例是否等于给定值。该检验渐近标准正态，允许截面相关，适用于T≥100、N≥30的有限样本。
This article proposes a simple estimator that is consistent for the fraction of a panel that has an autoregressive unit root. Given such an estimate, , we can test the null hypothesis that θ = θ0 for any value of θ0 ϵ (0, 1]. The test is asymptotically standard normal and is valid whether or not the panel is cross-sectionally correlated. The main insight is that in a panel in which some units are stationary and some have unit roots, the cross-sectional variance of the mixed panel is dominated by a linear trend that grows at rate θ, where θ is precisely the fraction of the panel with a unit root. Averaging the change in cross-sectional variance over time then gives a consistent estimate of θ as N, T → ∞. Simulations show that the estimator has good finite-sample properties when T ≥ 100, even with N as small as 30.