求助：面板单位根和面板协整的判断

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收藏 2007-06-07

有没有高手知道面板单位根的LLC检验，Hadri检验，IPS检验等检验的10%，5%，1%临界值？还有Pedroni Residual cointegration面板协整检验的10%，5%，1%临界值？下面给出我的结果，请各位高手帮我判断下：

1 面板单位根

Pool unit root test: Summary

Date: 06/06/07 Time: 19:48

Sample: 1 65

Series: FPRPJM, FPRBO, SPRPJM, SPRBO

Exogenous variables: Individual effects

Automatic selection of maximum lags

Automatic selection of lags based on SIC: 0 to 1

Newey-West bandwidth selection using Bartlett kernel

Cross-

Method

Statistic

Prob.**

sections

Obs

Null: Unit root (assumes common unit root process)

Levin, Lin & Chu t*

-1.53677

0.0622

254

Null: Unit root (assumes individual unit root process)

Im, Pesaran and Shin W-stat

-1.35334

0.0880

254

ADF - Fisher Chi-square

12.0998

0.1468

254

PP - Fisher Chi-square

13.7316

0.0890

256

Null: No unit root (assumes common unit root process)

Hadri Z-stat

6.45228

0.0000

260

** Probabilities for Fisher tests are computed using an asympotic Chi

-square distribution. All other tests assume asymptotic normality.

2 面板协整

Pedroni Residual Cointegration Test
Series: FPR? SPR?
Date: 06/06/07 Time: 19:55
Sample: 1 65
Included observations: 65
Cross-sections included: 2
Null Hypothesis: No cointegration
Trend assumption: No deterministic trend
Lag selection: Automatic SIC with a max lag of 10
Newey-West bandwidth selection with Bartlett kernel


Alternative hypothesis: common AR coefs. (within-dimension)
				Weighted
		Statistic	Prob.	Statistic	Prob.
Panel v-Statistic		0.543767	0.3441	-0.117203	0.3962
Panel rho-Statistic		-6.404348	0.0000	-4.219693	0.0001
Panel PP-Statistic		-4.305310	0.0000	-3.099794	0.0033
Panel ADF-Statistic		-4.358851	0.0000	-3.190732	0.0025

Alternative hypothesis: individual AR coefs. (between-dimension)

		Statistic	Prob.
Group rho-Statistic		-5.506182	0.0000
Group PP-Statistic		-4.372850	0.0000
Group ADF-Statistic		-4.466114	0.0000



Cross section specific results


Phillips-Peron results (non-parametric)

Cross ID	AR(1)	Variance	HAC	Bandwidth	Obs
PJM	0.738	79.41683	72.59246	1.00	64
BO	0.241	159.9337	158.5502	1.00	64

Augmented Dickey-Fuller results (parametric)

Cross ID	AR(1)	Variance	Lag	Max lag	Obs
PJM	0.738	79.41683	0	10	64
BO	0.241	159.9337	0	10	64