演講者簡介 : Prof. Min-Hsien Chinag為美國雪城大學財務博士（1997）。
現為成功大學國際企業研究所副教授。
其主要研究領域為計量經濟學、財務市場結構、國際投資及外匯市場、及國際研發之溢出效果。
演講摘要 : This article proposes test procedures to detect the presence of nonstationarity in dynamic panels against nonlinear but globally stationary exponential smooth transition autoregressive dynamic panels. The panels are cross sectionally independent but each cross section is allowed to have its own short run dynamics and deterministic components. Based on whether the autoregressive parameters and speed of transition are identical or not across individuals, our panel models are classifies as homogeneous or heterogeneous. In homogeneous panels, we pool all cross section data to form a unit root test statistics after some normalization applied to each cross section to control for the difference in short run dynamics and deterministic components. Whilst in heterogeneous panels, we first apply time series unit root tests proposed by Kapetanios, Shin and Snell (2003) to each cross section and then the panel unit root test statistics are formed as simple average of these individual unit root test statistics. By using sequential limit theory, i.e., first T (the time series dimension)→ ∞ and then N (the cross section dimension)→ ∞, our test statistics are shown to converge in probability to a standard normal variate under the null of a common unit root. The finite sample properties of proposed test statistics are examined via Monte Carlo simulations. Overall, the simulation results indicate that our proposed test statistics performs well in terms of size and power. Application of the proposed test statistics to OECD real exchange rate data provides some evidence in favor of PPP hypothesis.
