Modified CADF and CIPS Panel Unit Root Statistics with Standard Chi‐squared and Normal Limiting Distributions
改进了Pesaran提出的CADF和CIPS面板单位根检验统计量，使其极限分布变为标准卡方和正态分布，简化了实际应用中的推断过程。
Abstract In an influential paper Pesaran (‘A simple panel unit root test in presence of cross‐section dependence’, Journal of Applied Econometrics , Vol. 22, pp. 265–312, 2007) proposes two unit root tests for panels with a common factor structure. These are the CADF and CIPS test statistics, which are amongst the most popular test statistics in the literature. One feature of these statistics is that their limiting distributions are highly non‐standard, making for relatively complicated implementation. In this paper, we take this feature as our starting point to develop modified CADF and CIPS test statistics that support standard chi‐squared and normal inference.