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Breaking the panels. An application to the GDP per capita

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  • Josep Lluis Carrion Silvestre
  • Tomas del Barrio Castro
  • Enrique Lopez Bazo

    (Universitat de Barcelona)

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 specications are considered depending on the structural breaks affecting the individual effects and/or the time trend. The model is exible enough to allow the number of breaks and their position to differ across individuals. The test is shown to have an exact limit distribution with a good nite sample performance. Its application to a typical panel data set of real per capita GDP gives support to the trend stationarity of these series.

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Bibliographic Info

Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 97.

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Length: 26 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:bar:bedcje:200397

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Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
Web page: http://www.ere.ub.es
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