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Testing for Unit Roots in Panel Time Series Models with Multiple Breaks

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Author Info
Westerlund, Joakim () (Department of Economics, School of Business, Economics and Law, Göteborg University)
Abstract

This paper proposes two new unit root tests that are appropriate in the presence of an unknown number of structural breaks. One is based on a single time series and the other is based on a panel of multiple series. For the estimation of the number of breaks and their locations, a simple procedure based on outlier detection is proposed. The limiting distributions of the tests are derived and evaluated in small samples using simulation experiments. The implementation of the tests is illustrated using as an example purchasing power parity.

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File URL: http://hdl.handle.net/2077/21152
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Publisher Info
Paper provided by Göteborg University, Department of Economics in its series Working Papers in Economics with number 384.

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Length: 30 pages
Date of creation: 29 Sep 2009
Date of revision:
Handle: RePEc:hhs:gunwpe:0384

Contact details of provider:
Postal: Department of Economics, School of Business, Economics and Law, Göteborg University Box 640, SE 405 30 GÖTEBORG, Sweden
Phone: 031-773 10 00
Web page: http://www.handels.gu.se/econ/
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Related research
Keywords: Unit root test; Structural break; Outlier detection; Common factor; Purchasing power parity;

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
F31 - International Economics - - International Finance - - - Foreign Exchange

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This page was last updated on 2009-12-8.

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