面板协整检验理论的最新进展

面板协整检验理论的最新进展
内容摘要：本文综述近期（1995-2005）面板协整检验理论。面板协整分析理论最初是基
于结构稳定的分析，主要研究成果可以划分为部门独立的协整检验和部门依赖协整检验。同
时部门独立的协整检验又是从微观面板即同质面板协整检验发展到异质面板协整检验。最新
发展则集中于结构突变的面板整检验。未来研究至少集中于（1）面板协整检验统计量渐近
分布。（2）混合面板的协整检验理论。（3）多参数协整检验理论。面板协整检验为实证提供
良好的理论工具，主要集中于购买力平价理论等领域。然而在国内相关理论研究比较少见，
实证方面的分析也应进一步拓展。
关键词：面板 面板单位根 面板协整 购买力平价
Panel cointgration test :a survey
Abstract:The paper survey the development of panel cointegration test from 1995 to 2005. the
tests firstly based on no structure break.The main achievement is test of independence section and
dependence section.simultaneity, independence panel cointegration test progress from
homogenous to heterogeneous panel. Panel.cointegration test with structure break is last
progress.Futruely,research extend to asymptotic theory ,mixed panel data and multiple
cointegration vectors.So panel cointegration test is used in the demonstration ,especially Purchase
Power Parity.However,there is few research on panel cointegration in China.
Key word: Panel data Panel unit root Panel cointegration Purchase Power Parity