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

DOI10.1016/J.MATCOM.2010.04.019zbMath1215.62091OpenAlexW2039747459MaRDI QIDQ543445

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)

Related Items (2)

Testing for unit roots in short panels allowing for a structural break ⋮ Local power of panel unit root tests allowing for structural breaks

Cites Work

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• Estimating and Testing Linear Models with Multiple Structural Changes
• ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Inferential Theory for Factor Models of Large Dimensions
• Determining the Number of Factors in Approximate Factor Models
• Breaking the panels: An application to the GDP per capita

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