Advanced Search
MyIDEAS: Login to save this paper or follow this series

Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends

Contents:

Author Info

  • Chihwa Kao

    ()

  • Lorenzo Trapani

    ()

  • Giovanni Urga

    ()

Abstract

In this paper, we propose an estimation and testing framework for parameter instability in cointe- grated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative hypoth- esis of (at least) one common change point which is possibly unknown. The limiting distributions of the proposed test statistics are derived. Monte Carlo simulations examine size and power of the proposed tests.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10446/419
Download Restriction: no

Bibliographic Info

Paper provided by Department of Economics and Technology Management, University of Bergamo in its series Working Papers with number 0708.

as in new window
Length:
Date of creation: 2007
Date of revision:
Handle: RePEc:brh:wpaper:0708

Contact details of provider:
Postal: viale Marconi 5, 24044 Dalmine
Phone: 0352052341
Web page: http://www.unibg.it/struttura/en_struttura.asp?cerca=en_dige_intro
More information through EDIRC

Related research

Keywords: cPanel cointegration; Common and idiosyncratic stochastic trends; testing for structural changes;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, Elsevier, vol. 93(2), pages 345-368, December.
  2. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2006. "The Asymptotics for Panel Models with Common Shocks," Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University 77, Center for Policy Research, Maxwell School, Syracuse University.
  3. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1015, Cowles Foundation for Research in Economics, Yale University.
  4. Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics, Boston College Department of Economics 440, Boston College Department of Economics.
  5. Han, Aaron K & Park, Daekeun, 1989. "Testing for Structural Change in Panel Data: Application to a Study of U.S. Foreign Trade in Manufacturing Goods," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 71(1), pages 135-42, February.
  6. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December.
  7. Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics, Boston College Department of Economics 519, Boston College Department of Economics.
  8. Francesco Audrino, 2005. "The Stability of Factor Models of Interest Rates," Journal of Financial Econometrics, Society for Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 422-441.
  9. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1222, Cowles Foundation for Research in Economics, Yale University.
  10. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 1-34.
  11. MOON, Hyungsik Roger & PERRON, Benoit., 2002. "Testing for a Unit Root in Panels with Dynamic Factors," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 2002-18, Universite de Montreal, Departement de sciences economiques.
  12. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3020-3034.
  13. Christophe P´┐Żrignon & Christophe Villa, 2006. "Sources of Time Variation in the Covariance Matrix of Interest Rates," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 79(3), pages 1535-1550, May.
  14. Bai, Jushan, 2004. "Estimating cross-section common stochastic trends in nonstationary panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 122(1), pages 137-183, September.
  15. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  16. James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
  17. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 943, Cowles Foundation for Research in Economics, Yale University.
  18. Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 90(1), pages 1-44, May.
  19. Lawrence Joseph & David Wolfson, 1993. "Maximum likelihood estimation in the multi-path change-point problem," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 45(3), pages 511-530, September.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Markus Eberhardt & Francis Teal, 2009. "A Common Factor Approach to Spatial Heterogeneity in Agricultural Productivity Analysis," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford 2009-05, Centre for the Study of African Economies, University of Oxford.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:brh:wpaper:0708. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (University of Bergamo Library).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.