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Panel Unit Root Tests with Structural Breaks

Author

Listed:
  • Pengyu Chen

    (University of Birmingham)

  • Yiannis Karavias

    (University of Birmingham)

  • Elias Tzavalis

    (University of Birmingham)

Abstract

This presentation introduces a new Stata command, xtbunitroot, which implements the panel data unit root tests developed by Karavias and Tzavalis (2014). These tests allow for one or two structural breaks in deterministic components of the series and can be seen as panel data counterparts of the tests by Zivot and Andrews (1992) and Lumsdaine and Papell (1997). The dates of the breaks can be known or unknown. The tests allow for intercepts and linear trends, non-normal errors, cross-section heteroskedasticity and dependence. They have power against homogeneous and heterogeneous alternatives, and can be applied to panels with small or large time series dimensions. We will describe the econometric theory and illustrate the syntax and options of the command, with some empirical examples.

Suggested Citation

  • Pengyu Chen & Yiannis Karavias & Elias Tzavalis, 2021. "Panel Unit Root Tests with Structural Breaks," London Stata Conference 2021 19, Stata Users Group.
    • Handle: RePEc:boc:usug21:19
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    13. João Alcobia & Ricardo Barradas, 2023. "Functional Income Distribution And Secular Stagnation In Europe: An Analysis Of The Post-Keynesian Growth Drivers," Working Papers REM 2023/0283, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.

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