Using panel data to increase the power of modified unit root tests in the presence of structural breaks

DOI10.1016/J.AMC.2005.01.090MaRDI QIDQ2490979zbMATHOpenAlexFDO

Authors Kristian Jönsson

Publication date 18 May 2006

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2005.01.090

zbMATH Keywords

panel dataresponse surfaceMonte Carlo simulationunit root teststructural change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Model specification in panel data unit root tests with an unknown break
• Finite-sample properties of modified unit root tests in the presence of structural change.
• Testing for unit roots in panels allowing for multiple structural breaks based on AR(1)
• Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
• More powerful modifications of unit root tests allowing structural change

Cites work

• Behaviour of the standard and symmetric Dickey-Fuller-type tests when there is a break under the null hypothesis
• Correcting size distortion of the Dickey--Fuller test via recursive mean adjustment.
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Finite-sample properties of modified unit root tests in the presence of structural change.
• Linear Regression Limit Theory for Nonstationary Panel Data
• Recursive mean adjustment for unit root tests
• Spurious rejections by Dickey-Fuller tests in the presence of a break under the null
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(3)

• Model specification in panel data unit root tests with an unknown break
• Is MORE LESS? The role of data augmentation in testing for structural breaks
• Simple panel unit root tests to detect changes in persistence

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