Testing for shifts in a time trend panel data model with serially correlated error component disturbances

DOI10.1080/07474938.2020.1772567zbMath1490.62226OpenAlexW2923352499MaRDI QIDQ5861011

Badi H. Baltagi, Long Liu, Chihwa Kao

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://www.maxwell.syr.edu/uploadedFiles/cpr/publications/working_papers2/wp213.pdf

zbMATH Keywords

serial correlationnon-stationary panelsWald-type teststime trends

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Structural breaks with deterministic and stochastic trends
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• A transformation that will circumvent the problem of autocorrelation in an error-component model
• Estimating deterministic trends with an integrated or stationary noise component
• Nonstationary panel data analysis: an overview of some recent developments
• Linear Regression Limit Theory for Nonstationary Panel Data
• Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances
• Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term

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