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

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  • 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.

Suggested Citation

  • Westerlund, Joakim, 2009. "Testing for Unit Roots in Panel Time Series Models with Multiple Breaks," Working Papers in Economics 384, University of Gothenburg, Department of Economics.
    • Handle: RePEc:hhs:gunwpe:0384
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    File URL: http://hdl.handle.net/2077/21152
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    References listed on IDEAS

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    7. Joakim Westerlund & David L. Edgerton, 2007. "New Improved Tests for Cointegration with Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(2), pages 188-224, March.
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    More about this item

    Keywords

    Unit root test; Structural break; Outlier detection; Common factor; Purchasing power parity;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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