Dynamic factor extraction of cross‐sectional dependence in panel unit root tests
在面板单位根检验中采用因子模型处理截面依赖，提出新的因子提取方法，并通过蒙特卡洛模拟发现多因子和持久因子情形下检验效果变差，有时甚至不如不修正截面依赖。
Abstract Recently, considerable emphasis has been placed on the problems arising out of cross‐sectional dependence in panel unit root tests. This paper adopts the factor‐based cross‐sectional dependence paradigm of Bai and Ng ( 2005 ) but suggests alternative factor extraction methods. Some theoretical results for these methods are provided. Further, a detailed Monte Carlo study of these methods for multiple and persistent factors is undertaken. It is found that results are radically different from the serially uncorrelated single‐factor case. Tests perform much worse and in some cases it is preferable not to correct at all for cross‐sectional dependence. Copyright © 2007 John Wiley & Sons, Ltd.