Estimation of heterogeneous panels with structural breaks

Simple Tests for Cointegration in Dependent Panels with Structural Breaks∗

This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, unit specific time trends, cross-sectional dependence and an unknown structural break in both the intercept and slope of the cointegrated regression, which may be located at different dates for different un...

Structural Breaks and Unit Root Tests for Short Panels

In this paper we suggest panel data unit root tests which allow for a potential structural break in the individual e¤ects and/or the trends of each series of the panel, assuming that the time-dimension of the panel, T , is ...xed. The proposed test statistics consider for the case that the break point is known and for the case that it is unknown. Monte Carlo evidence suggests that they have siz...

Cointegration Testing in Dependent Panels with Breaks

In this paper we propose panel cointegration tests allowing for breaks and cross-section dependence based on the Continuos-Path Block bootstrap. Simulation evidence shows that the proposed panel tests have satisfactory size and power properties, hence improving considerably on asymptotic tests applied to individual series. As an empirical illustration we examined investment and saving for a pan...

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

Unit Roots and Structural Breaks in Panels: Does the Model Specification Matter?

Although the impacts of structural instability on testing for unit root have been studied extensively for univariate time series, such impacts on panel data unit root tests are still relatively unknown. A major issue is the choice of model in accommodating different types of break (instability) prior to testing for unit root. Specifically, researchers must specify a potential break in the inter...