初始条件对LLC检验局部渐近势的影响研究

本文研究了DF类面板数据单位根LLC检验势受时序数据初始值的影响，推导了DF类面板单位根LLC检验统计量在局部备择假设下的极限分布和局部渐近势函数，发现了面板数据单位根LLC检验统计量局部渐近势在同质性局部备择假设下是初始条件的单调递增函数；小样本蒙特卡罗模拟结果表明，若假定初始条件为零，LLC统计量的检验势将被低估。

Study on Local Asymptotic Power of LLC Test with the Impact of Initial Condition

Under the situation where the deviation of the initial observation in each individual time series may not be asymptomatically negligible, we derive the local asymptomatic distribution and power function of Dickey-Fuller family panel unit root test of LLC without time trends. We find that the power is the monotonous function of the initial conditions under homogeneous local alternative hypothesis. Monte Carlo simulations of small sample demonstrate if the initial conditions assumed to zero can underestimate the power of LLC test.