Model specification in panel data unit root tests with an unknown break
DOI10.1016/J.MATCOM.2010.04.019zbMATH Open1215.62091OpenAlexW2039747459MaRDI QIDQ543445FDOQ543445
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
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Cites Work
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Estimating and Testing Linear Models with Multiple Structural Changes
- Testing for unit roots in heterogeneous panels.
- A PANIC attack on unit roots and cointegration.
- Inference for unit roots in dynamic panels where the time dimension is fixed
- Further evidence on breaking trend functions in macroeconomic variables
- 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
- Testing for stationarity in heterogeneous panel data
- Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data
- Breaking the panels: An application to the GDP per capita
- ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE
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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