Test performance and improvement of new tests for nonstationary panels

2014 Fiscal Year Final Research Report

• Project/Area Number: 24530237
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Research Field: Economic statistics
• Research Institution: Osaka Gakuin University
• Principal Investigator: MATSUKI Takashi 大阪学院大学, 経済学部, 教授 (60319564)
• Project Period (FY): 2012-04-01 – 2015-03-31
• Keywords: 非定常パネルデータ / 単位根 / 共和分 / 多重検定 / 経済構造変化 / 非線型性

Outline of Final Research Achievements

This study investigates the test performance of new methods of testing for unit roots or cointegration in nonstationary panels. The study extends these tests to deal with data with structural breaks or nonlinearity. It also applies them, in their original or extended forms, to actual data. I use Romano and Wolf’s (2005) multiple testing based on the bootstrap method and observe the following three noteworthy points in the results: (1) The test can avoid the multiplicity problem (over-rejection of the null hypothesis caused by the repeated use of a single test) and increase test power, while other multiple testing methods suffer from a lack of power. (2) The test can be easily extended to consider cases where structural breaks or nonlinearity is observed in the data; it exhibits good test performance even in these cases. (3) The obtained empirical results are meaningful when some tests are applied to actual exchange rates or financial data.

Free Research Field

計量経済学