Panel LM Unit‐root Tests with Level Shifts*
提出一种基于拉格朗日乘子原理的新面板单位根检验，该检验在存在结构移位时仍保持稳健，且比流行的IPS检验更有效。应用于购买力平价假说，发现支持PPP的强证据。
Abstract This paper proposes a new panel unit‐root test based on the Lagrangian multiplier (LM) principle. We show that the asymptotic distribution of the new panel LM test is not affected by the presence of structural shifts. This result holds under a mild condition that N / T → k , where k is any finite constant. Our simulation study shows that the panel LM unit‐root test is not only robust to the presence of structural shifts, but is more powerful than the popular Im, Pesaran and Shin (IPS) test. We apply our new test to the purchasing power parity (PPP) hypothesis and find strong evidence for PPP.