Model specification in panel data unit root tests with an unknown break

DOI10.1016/J.MATCOM.2010.04.019MaRDI QIDQ543445zbMATH OpenOpenAlexFDO

Authors Felix T. S. Chan, Laurent L. Pauwels

Publication date 17 June 2011

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2010.04.019

zbMATH Keywords

structural changeheterogeneous panelsunit roots tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

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• Testing for a unit root in a random coefficient panel data model
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• TESTING FOR UNIT ROOTS IN PANELS WITH A FACTOR STRUCTURE
• Testing for unit roots in short panels allowing for a structural break

Cites work

• A PANIC attack on unit roots and cointegration.
• ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE
• Breaking the panels: An application to the GDP per capita
• Determining the Number of Factors in Approximate Factor Models
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Further evidence on breaking trend functions in macroeconomic variables
• Inference for unit roots in dynamic panels where the time dimension is fixed
• Inferential Theory for Factor Models of Large Dimensions
• Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
• Testing for stationarity in heterogeneous panel data
• Testing for unit roots in heterogeneous panels.
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses

Cited in

(8)

• Testing for unit roots in panels allowing for multiple structural breaks based on AR(1)
• Misspecification of the breaking date in segmented trend variables: Effect on the unit root tests
• Testing for unit roots in short panels allowing for a structural break
• Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
• Panel data unit root test with structural break: a Bayesian approach
• Local power of panel unit root tests allowing for structural breaks
• Using panel data to increase the power of modified unit root tests in the presence of structural breaks
• An analysis of inflation and interest rates. New panel unit root results in the presence of structural breaks

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