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Breaking the panels: An application to the GDP per capita

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  • Josep Llu�s Carrion-i-Silvestre
  • Tom�s del Barrio-Castro
  • Enrique L�pez-Bazo

Abstract

This paper proposes a test statistic for the null hypothesis of panel stationarity that allows for the presence of multiple structural breaks. Two different specifications are considered depending on the structural breaks affecting the individual effects and/or the time trend. The model is flexible enough to allow the number of breaks and their position to differ across individuals. The test is shown to have a standard normal limit distribution with a good finite sample performance. It is applied to typical panel data of real per capita GDP in a set of OECD countries. Copyright 2005 Royal Economic Society

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 8 (2005)
Issue (Month): 2 (07)
Pages: 159-175

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Handle: RePEc:ect:emjrnl:v:8:y:2005:i:2:p:159-175

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