联合p值综列单位根检验的扩展及其对中国股市的弱有效性检验

被引：15

作者：

王少平 ^{[1
]}

杨继生 ^{[2
]}

机构：

[1] 华中科技大学经济学院

[2] 不详

来源：

统计研究 | 2006年 / 04期

关键词：

综列单位根; 联合p值检验; 扩展; 有效性检验;

D O I：

10.19343/j.cnki.11-1302/c.2006.04.015

中图分类号：

F224 [经济数学方法];

学科分类号：

0701 ; 070104 ;

摘要：

Choi(2001) proposed the combining p-value tests for panel data.This paper modify the test to allow for the cross-sectional dependence with autoregressive errors and replace Choi’s DF-GLS with ADF when DGP include an intercept or/and linear time trend.The Monte-Carlo simulation shows that the empirical size of the extended tests is very close to the nominal size of the asymptotic distributions,the power of our tests is very high,such simulation results show that our modification is feasible.Appling our tests to Chinese securities market gives the results that dependent panel price indexes of the markets is a panel unit root process,this conclusion implies that the Chinese securities market is general weak efficiency.

引用

页码：69 / 72

页数：4