An Intersection Test for Panel Unit Roots
提出一种基于Simes交叉检验的面板单位根检验方法，对截面依赖稳健且易于实施，仅需面板中各序列时间序列单位根检验的p值，无需重抽样。蒙特卡洛实验显示其良好的尺寸和功效，并能识别面板中哪些单位满足平稳性备择假设。
This article proposes a new panel unit root test based on Simes’ (1986 Simes , R. J. ( 1986 ). An improvbonferroni procedure for multiple tests of significance . Biometrika 73 : 751 – 754 .[Crossref], [Web of Science ®] , [Google Scholar]) classical intersection test. The test is robust to general patterns of cross-sectional dependence and yet is straightforward to implement, only requiring p-values of time series unit root tests of the series in the panel, and no resampling. Monte Carlo experiments show good size and power properties relative to existing panel unit root tests. Unlike previously suggested tests, the new test allows to identify the units in the panel for which the alternative of stationarity can be said to hold. We provide an empirical application to real exchange rate data.