Local power of panel unit root tests allowing for structural breaks

Generalized fixed-T panel unit root tests allowing for structural breaks

In this paper we suggest panel data unit root tests which allow for a structural breaks in the individual effects or linear trends of panel data models. This is done under the assumption that the disturbance terms of the panel are heterogenous and serially correlated. The limiting distributions of the suggested test statistics are derived under the assumption that the time-dimension of the pane...

The power performance of fixed-T panel unit root tests allowing for structural breaks in their deterministic components

The asymptotic local power of least squares based …xed-T panel unit root tests allowing for a structural break in their individual e¤ects and/or incidental trends of the AR(1) panel data model is studied. These tests correct the least squares estimator of the autoregressive coe¢ cient of this panel data model for its inconsistency due to the individual e¤ects and/or incidental trends of the pan...

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

Seasonal Unit Root Tests Under Structural Breaks

In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions...

purchasing power parity hypothesis in oic countries: evidence from panel unit root tests with heterogeneous structural breaks