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1、SomestatisticsinEconometricsandtheirdevelopmentsShaopingWangSchoolofEconomics,HuazhongUniversityofScienceandTechnology,Wuhan,ChinaIntroduction—ClassictestsinEconometricsMorebroadly:hypothesiscouldbesetaslinearornonlinear.LikelihoodRatiotest:Waldtest:LMtest:ThreePrevailingTestsi
2、neconometricsIntroductionDWtestforfirstautocorrelationI(1)tests:tstatisticsanditsdistribution-DFandADFdistributionWhat’sdifferencefortheDFandADFdistributionADFtestandPPtestforI(1)processSomeissues3.1宏觀計量非平穩(wěn)（單位根I(1)）過程:3.1宏觀計量非平穩(wěn)（單位根I(1)）過程:單位根檢驗時間序列yt,yt=?yt-1+ut,零假設和備擇假設分別是，H0
3、：?=1，（yt~I(1))H1：?<1，（yt~I(0)）3.1宏觀計量非平穩(wěn)（單位根I(1)）過程:單位根檢驗時間序列yt,yt=?yt-1+ut,零假設和備擇假設分別是，H0：?=1，（yt~I(1))H1：?<1，（yt~I(0)）用DF統(tǒng)計量進行單位根檢驗。t=~DFdistribution3.1宏觀計量非平穩(wěn)（單位根I(1)）過程:單位根檢驗時間序列yt,yt=?yt-1+ut,零假設和備擇假設分別是，H0：?=1，（yt~I(1))H1：?<1，（yt~I(0)）用DF統(tǒng)計量進行單位根檢驗。t=~DFdistribution協(xié)整協(xié)整是對
4、非平穩(wěn)經(jīng)濟變量長期均衡關系的統(tǒng)計描述.非平穩(wěn)經(jīng)濟變量間存在的均衡關系稱作協(xié)整關系.定義:如果{X1t,X2t,…,Xkt}~I(1)，Zt=?X~I(0),?=(?1,?2,…,?k)，那么{X1t,X2t,…,Xkt}協(xié)整，記為,Xt~CI(1,0)，?是協(xié)整向量.上圖說明:X(t),Y(t)~I(1),Z(t)=0.3Y(t)+0.5X(t)~I(0)IntroductionPanelunitroottest:SurveybyHurlinandMignon(2004)AssumecrosssectionalindependenceLevinand
5、Lin(1992,1993);Levin,LinandChu(2002);HarrisandTzavalis(1999);Im,PesaranandShin(1997,2003);MaddalaandWu(1999);Choi(1999,2001)AssumecrosssectionaldependenceFl?res,PreumontandSzafarz(1995);TayorandSarno(1998);BreitungandDas(2004);BaiandNg(2001,2004);MoonandPerron(2004);Phillipsand
6、Sul(2003);Pesaran(2003);Choi(2002);Chang(2002)IntroductionChang(2002)ANIVestimationChangtestPerformanceofChangtestwithmoderatetohighcrosssectionaldependencyThisPaperATwoStepTestImprovedtheperformanceChang’sModel(1):coefficientonthelaggeddependentvariable:errortermwhichfollowsth
7、eAR(p)process:(2):lagoperator:autoregressivecoefficient:someintegerthatisknownandfixedWeareinterestedintestingforallVSforsomeHypothesisModelAssumptionsToensuretheAR(p)processin(2)isinvertibleAssumption1:forallandTorestrictthedistributionoferrortermAssumption2:Denote(1)areindepe
8、ndentandidenticallydistributedanditsdistributionisabso
