A Comparative study of unit roottests with panel data and a new simple test（4）

G. S. Maddala and Shaowen Wu

(H. D. Thoreau: Walden)

单位根检验与面板数据的比较研究和一种新的简单检验-4

1，Inthe empirical applications, Oh (1996) uses only models 1 and 5. Wu (1996) usesthe complete model with trend, and individual and time-specific effects butuses the distributions derived for model 5.

2，Papell(1997) uses model 5 with lagged firrst differences added but computes his ownexact finite sample critical values using Monte Carlo methods and finds them 3to 15 percent higher than those tabulated in Levin and Lin (1992).

3，Levinand Lin argue that in contrast to the standard distributions of unit root teststatistics for a single time series, the panel test statistics have limitingnormal distributions. However, the convergence rates are faster as (superconsistency) than as .

4，Thepaper by Levin and Lin (1993) provides some new results on panel unit roottests. These tests are designed to take care of the problem of heteroscedasticityand autocorrelation.

5，Theyinvolve the following steps：

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