基于逻辑函数平滑转移模型和截面相关的非线性面板单位根检验
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摘要
研究目标:建立一种能够处理经济变量非线性和非对称性的面板单位根检验方法。研究方法:基于逻辑函数平滑转移模型建立非线性面板单位根检验,并通过蒙特卡洛模拟给出其临界值,进行有限样本性质的研究。研究发现:蒙特卡洛模拟显示,该检验具有正确的检验水平和良好的检验功效,而采用不恰当的模型形式会导致检验水平的扭曲和检验功效的降低。该检验的实证结果表明实际有效汇率服从逻辑函数形式,是非线性平稳的。研究创新:给出了截面相关条件下基于逻辑函数平滑转移模型的非线性面板单位根检验的渐近分布。研究价值:完善了非线性面板单位根检验方法,验证了购买力平价理论的存在性,为相应政策的制定提供理论依据。
Research Objectives: This paper is to establish a panel unit root test method that can deal with the nonlinearity and asymmetry of the economic variables. Research Methods: The nonlinear panel unit root test is established based on the logistic smooth transition model, and its critical value is given by Monte Carlo simulation, and the finite sample properties is studied.Research Findings: The Monte Carlo simulations show that the test has correct size and good power, and the use of inappropriate model forms can lead to size distortion and reduction of test power. The empirical results based on this test show that the real effective exchange rate obeys the logistic form and is nonlinear stationary. Research Innovations: This paper proposes the asymptotic distribution of the nonlinear panel unit root test based on the logistic smooth transition model under cross-section correlation conditions. Research Value: This paper can improve the method of nonlinear panel unit root test, verify the existence of purchasing power parity theory, and provide theoretical basis for the corresponding policy decisions.
Research Objectives: This paper is to establish a panel unit root test method that can deal with the nonlinearity and asymmetry of the economic variables. Research Methods: The nonlinear panel unit root test is established based on the logistic smooth transition model, and its critical value is given by Monte Carlo simulation, and the finite sample properties is studied.Research Findings: The Monte Carlo simulations show that the test has correct size and good power, and the use of inappropriate model forms can lead to size distortion and reduction of test power. The empirical results based on this test show that the real effective exchange rate obeys the logistic form and is nonlinear stationary. Research Innovations: This paper proposes the asymptotic distribution of the nonlinear panel unit root test based on the logistic smooth transition model under cross-section correlation conditions. Research Value: This paper can improve the method of nonlinear panel unit root test, verify the existence of purchasing power parity theory, and provide theoretical basis for the corresponding policy decisions.
引文
[1]Abuaf N., Jorion P., 1990,Purchasing Power Parity in the Long Run [J], Journal of Finance, 45 (1), 157～174.
[2]Cerrato M., Peretti C., Sarantis N., 2011, A Nonlinear Panel Unit Root Test under Cross Section Dependence [J],Sire Discussion Papers, 44, 1～31.
[3]Campbell J.Y., Perron, 1991, Pitfalls and Opportunities: What Macroeconomics Should Know about Unit Roots[J], NBER Macroeconomics Annual, 6(6),141～201.
[4]Dickey D. A., Fuller W. A., 1979, Distribution of the Estimates for Autoregressive Time Series With a Unit Root [J], Journal of the American Statistical Association, 74, 427～431.
[5]Emirmahmutoglu F., Omay T., 2014, Reexamining the PPP Hypothesis: A Nonlinear Asymmetric Heterogeneous Panel Unit Root Test [J], Economic Modelling, 40, 184～190.
[6]Enders W., Dibooglu S., 2001, Long-Run Purchasing Power Parity with Asymmetric Adjustment [J], Southern Economic Journal, 68 (2), 433～445.
[7]Engel C., 2000, Long-Run PPP May Not Hold After All [J], Journal of International Economics, 51 (2), 243～273.
[8]Escribano A., Jordá O., 2001, Testing nonlinearity: Decision rules for Selecting between Logistic and Exponential STAR Models [J], Spanish Economic Review, 3 (3), 193～209.
[9]Fleissig A., Strauss J., 2001, Panel Unit-Root Tests of OECD Stochastic Convergence [J], Review of International Economics, 9 (1),153～162.
[10]Frankel J. A., Rose A. K., 1996, A Panel Project on Purchasing Power Parity: Mean Reversion within and between Countries [J], Journal of International Economics, 40 (1～2), 209～224.
[11]Kapetanios G., Shin Y., Snell A., 2003, Testing for a Unit Root in the Nonlinear STAR Framework [J], Journal of Econometrics, 112 (2), 359～379.
[12]Kim H., Sterna L. V., Stern M. L., 2009, Nonlinear Mean Reversion in the G7 Stock Markets[J], Applied Financial Economics, 19 (5), 347～355.
[13]Levin A., Lin C.F., Chu C.S.J., 2002, Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties[J], Journal of Econometrics, 108(1), 1～24.
[14]Lothian J., Taylor M., 1996, Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries [J], Journal of Political Economy, 104 (3), 488～509.
[15]Luukkonen R., Saikkonen P., Ter svirta T., 1988, Testing Linearity Against Smooth Transition Autoregression [J], Biometrika, 75 (3), 491～499.
[16]M?nsson K., Sj?lander P., 2014, Testing for Nonlinear Panel Unit Roots under Cross-Sectional Dependency [J], Economic Modelling, 38 (1), 121～132.
[17]Mark N., 1990, Real and Nominal Exchange Rates in the Long Run: An Empirical Investigation [J], Journal of International Economics, 28 (1), 115～136.
[18]O'Connell P. G. J., 1998, The Overvaluation of Purchasing Power Parity [J], Journal of International Economics, 44 (1), 1～19.
[19]Olson M., 1996, Distinguished Lecture on Economics in Government: Big Bills Left on the Sidewalk: Why Some Nations are Rich, and Others Poor [J], Journal of Economic Perspectives, 10 (2), 3～24.
[20]Papell D. H., 1997, Searching for Stationarity: Purchasing Power Parity under the Current Float [J], Journal of International Economics, 43 (3-4), 313～332.
[21]Peretto P. F., 1999, Industrial Development, Technological Change, and Long-run Growth [J], Journal of Development Economics, 59 (2), 389～417.
[22]Pesaran M. H., 2004, General Diagnostic Tests for Cross Section Dependence in Panels [R], IZA Discussion Papers, No. 1240.
[23]Pesaran M. H.,2007, A Simple Panel Unit Root Test in the Presence of Cross‐Section Dependence [J], Journal of Applied Econometrics, 22 (2), 265～312.
[24]Sollis R., 2009, A Simple Unit Root Test against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries [J], Economic Modeling, 26 (1),118～125.
[25]Taylor M., 1988, An Empirical Examination of Long-run Purchasing Power Parity Using Cointegration Techniques [J], Applied Economics, 20 (10), 1369～1381.
[26]Michael P., Nobay A., Peel D. A., 1997, Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation [J], Journal of Political Economy, 105 (4), 862～879.
[27]Taylor M., Peel D. A., Sarno L., 2001, Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles [J], International Economic Review, 42 (4), 1015～1042.
[28]Tweedie R. L., 1975, Sufficient Conditions for Ergodicity and Recurrence of Markov Chains on a General State Space [J], Stochastic Processes and their Applications, 4 (3), 385～403.
[29]Wu J. L., Chen S. L., 1998, A Re-Examination of Real Interest Rate Parity [J], Canadian Journal of Economics, 31 (4), 837～851.
[30]Wu Y., 1996, Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test [J], Journal of Money Credit & Banking, 28 (1), 54～63.
[31]戴金平、杨珂、刘东坡:《人民币汇率对购买力平价的偏离及原因分析》[J],《中央财经大学学报》2015年第7期。
[32]刘夏明、魏英琪、李国平:《收敛还是发散?——中国区域经济发展争论的文献综述》[J],《经济研究》2004年第7期。
[33]汪卢俊:《LSTAR-GARCH模型的单位根检验》[J],《统计研究》2014年第7期。
[34]王磊、范超:《购买力平价与汇率背离原因研究》[J],《数量经济技术经济研究》2013年第11期。
[35]赵振全、刘柏:《中国购买力平价的STAR非线性单位根检验》[J],《宁波大学学报:人文科学版》2008年第6期。
[36]朱成科、史燕平:《进口跨境人民币结算:抛补套利与利率平价失灵?》[J],《国际金融研究》2015年第11期。
(1)22个OECD国家包括:澳大利亚、奥地利、比利时、加拿大、丹麦、芬兰、法国、德国、希腊、爱尔兰、意大利、日本、荷兰、新西兰、挪威、葡萄牙、新加坡、韩国、西班牙、瑞典、瑞士和英国。9个新兴市场国家包括:巴西、中国、印尼、马来西亚、菲律宾、俄罗斯、南非、泰国和印度。
[2]Cerrato M., Peretti C., Sarantis N., 2011, A Nonlinear Panel Unit Root Test under Cross Section Dependence [J],Sire Discussion Papers, 44, 1～31.
[3]Campbell J.Y., Perron, 1991, Pitfalls and Opportunities: What Macroeconomics Should Know about Unit Roots[J], NBER Macroeconomics Annual, 6(6),141～201.
[4]Dickey D. A., Fuller W. A., 1979, Distribution of the Estimates for Autoregressive Time Series With a Unit Root [J], Journal of the American Statistical Association, 74, 427～431.
[5]Emirmahmutoglu F., Omay T., 2014, Reexamining the PPP Hypothesis: A Nonlinear Asymmetric Heterogeneous Panel Unit Root Test [J], Economic Modelling, 40, 184～190.
[6]Enders W., Dibooglu S., 2001, Long-Run Purchasing Power Parity with Asymmetric Adjustment [J], Southern Economic Journal, 68 (2), 433～445.
[7]Engel C., 2000, Long-Run PPP May Not Hold After All [J], Journal of International Economics, 51 (2), 243～273.
[8]Escribano A., Jordá O., 2001, Testing nonlinearity: Decision rules for Selecting between Logistic and Exponential STAR Models [J], Spanish Economic Review, 3 (3), 193～209.
[9]Fleissig A., Strauss J., 2001, Panel Unit-Root Tests of OECD Stochastic Convergence [J], Review of International Economics, 9 (1),153～162.
[10]Frankel J. A., Rose A. K., 1996, A Panel Project on Purchasing Power Parity: Mean Reversion within and between Countries [J], Journal of International Economics, 40 (1～2), 209～224.
[11]Kapetanios G., Shin Y., Snell A., 2003, Testing for a Unit Root in the Nonlinear STAR Framework [J], Journal of Econometrics, 112 (2), 359～379.
[12]Kim H., Sterna L. V., Stern M. L., 2009, Nonlinear Mean Reversion in the G7 Stock Markets[J], Applied Financial Economics, 19 (5), 347～355.
[13]Levin A., Lin C.F., Chu C.S.J., 2002, Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties[J], Journal of Econometrics, 108(1), 1～24.
[14]Lothian J., Taylor M., 1996, Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries [J], Journal of Political Economy, 104 (3), 488～509.
[15]Luukkonen R., Saikkonen P., Ter svirta T., 1988, Testing Linearity Against Smooth Transition Autoregression [J], Biometrika, 75 (3), 491～499.
[16]M?nsson K., Sj?lander P., 2014, Testing for Nonlinear Panel Unit Roots under Cross-Sectional Dependency [J], Economic Modelling, 38 (1), 121～132.
[17]Mark N., 1990, Real and Nominal Exchange Rates in the Long Run: An Empirical Investigation [J], Journal of International Economics, 28 (1), 115～136.
[18]O'Connell P. G. J., 1998, The Overvaluation of Purchasing Power Parity [J], Journal of International Economics, 44 (1), 1～19.
[19]Olson M., 1996, Distinguished Lecture on Economics in Government: Big Bills Left on the Sidewalk: Why Some Nations are Rich, and Others Poor [J], Journal of Economic Perspectives, 10 (2), 3～24.
[20]Papell D. H., 1997, Searching for Stationarity: Purchasing Power Parity under the Current Float [J], Journal of International Economics, 43 (3-4), 313～332.
[21]Peretto P. F., 1999, Industrial Development, Technological Change, and Long-run Growth [J], Journal of Development Economics, 59 (2), 389～417.
[22]Pesaran M. H., 2004, General Diagnostic Tests for Cross Section Dependence in Panels [R], IZA Discussion Papers, No. 1240.
[23]Pesaran M. H.,2007, A Simple Panel Unit Root Test in the Presence of Cross‐Section Dependence [J], Journal of Applied Econometrics, 22 (2), 265～312.
[24]Sollis R., 2009, A Simple Unit Root Test against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries [J], Economic Modeling, 26 (1),118～125.
[25]Taylor M., 1988, An Empirical Examination of Long-run Purchasing Power Parity Using Cointegration Techniques [J], Applied Economics, 20 (10), 1369～1381.
[26]Michael P., Nobay A., Peel D. A., 1997, Transactions Costs and Nonlinear Adjustment in Real Exchange Rates: An Empirical Investigation [J], Journal of Political Economy, 105 (4), 862～879.
[27]Taylor M., Peel D. A., Sarno L., 2001, Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles [J], International Economic Review, 42 (4), 1015～1042.
[28]Tweedie R. L., 1975, Sufficient Conditions for Ergodicity and Recurrence of Markov Chains on a General State Space [J], Stochastic Processes and their Applications, 4 (3), 385～403.
[29]Wu J. L., Chen S. L., 1998, A Re-Examination of Real Interest Rate Parity [J], Canadian Journal of Economics, 31 (4), 837～851.
[30]Wu Y., 1996, Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test [J], Journal of Money Credit & Banking, 28 (1), 54～63.
[31]戴金平、杨珂、刘东坡:《人民币汇率对购买力平价的偏离及原因分析》[J],《中央财经大学学报》2015年第7期。
[32]刘夏明、魏英琪、李国平:《收敛还是发散?——中国区域经济发展争论的文献综述》[J],《经济研究》2004年第7期。
[33]汪卢俊:《LSTAR-GARCH模型的单位根检验》[J],《统计研究》2014年第7期。
[34]王磊、范超:《购买力平价与汇率背离原因研究》[J],《数量经济技术经济研究》2013年第11期。
[35]赵振全、刘柏:《中国购买力平价的STAR非线性单位根检验》[J],《宁波大学学报:人文科学版》2008年第6期。
[36]朱成科、史燕平:《进口跨境人民币结算:抛补套利与利率平价失灵?》[J],《国际金融研究》2015年第11期。
(1)22个OECD国家包括:澳大利亚、奥地利、比利时、加拿大、丹麦、芬兰、法国、德国、希腊、爱尔兰、意大利、日本、荷兰、新西兰、挪威、葡萄牙、新加坡、韩国、西班牙、瑞典、瑞士和英国。9个新兴市场国家包括:巴西、中国、印尼、马来西亚、菲律宾、俄罗斯、南非、泰国和印度。