Unit Root Testing in Heteroscedastic Panels Using the Cauchy Estimator
提出一种基于柯西估计量的面板单位根检验方法，利用符号工具变量得到标准正态检验统计量，适用于存在截面依赖和时变波动的情形，并通过收缩估计处理N与T相当或更大的情况。
The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV t-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no deterministic trends. The standard normality of the Cauchy test is exploited to obtain a standard normal panel unit root test under cross-sectional dependence and time-varying volatility with an orthogonalization procedure. The article's analysis of the joint N, T asymptotics of the test suggests that (1) N should be smaller than T and (2) its local power is competitive with other popular tests. To render the test applicable when N is comparable with, or larger than, T, shrinkage estimators of the involved covariance matrix are used. The finite-sample performance of the discussed procedures is found to be satisfactory.