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论坛 计量经济学与统计论坛 五区 计量经济学与统计软件 Stata专版
2258 1
2008-05-29

. hadrilm smv(a var):

Hadri (2000) panel unit root test for smv
with 3 observations on 4 cross-sectional units

eps       Z(mu)    P-value      Z(tau)    P-value

Homo       0.507     0.3059      -1.418     0.9219

Hetero     0.600     0.2744       3.989     0.0000

SerDep    11.180     0.0000      44.673     0.0000

H0: all 4 timeseries in the panel are stationary processes
Homo: homoskedastic disturbances across units
Hetero: heteroskedastic disturbances across units
SerDep: controlling for serial dependence in errors (lag trunc = 5)

上面检验结果中的z(mu)和z(tau)的含义是什么?

上面结果的意思能否简单说一下?

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2015-1-7 16:25:54
    hadrilm performs a test for stationarity in heterogeneous panel data (Hadri, 2000). This Lagrange Multiplier (LM) test has a null of stationarity, and its test statistic is distributed as standard normal under the null.  The series may be stationary around a deterministic level, specific to the unit (i.e. a fixed effect) or around a unit-specific deterministic trend.  The error process may be assumed to be homoskedastic across the panel, or heteroskedastic across units. Serial dependence in the disturbances can also be taken into account using a Newey-West estimator of the long run variance.  The residual-based test is based on the squared partial sum process of residuals from a demeaning (detrending) model of level (trend) stationarity.
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