Breaking the panels: An application to the GDP per capita
This paper proposes a test statistic for the null hypothesis of panel stationarity that allows for the presence of multiple structural breaks. Two different specifications are considered depending on the structural breaks affecting the individual effects and/or the time trend. The model is flexible enough to allow the number of breaks and their position to differ across individuals. The test is shown to have a standard normal limit distribution with a good finite sample performance. It is applied to typical panel data of real per capita GDP in a set of OECD countries. Copyright 2005 Royal Economic Society
Year of publication: |
2005
|
---|---|
Authors: | Carrion-i-Silvestre, Josep Lluís ; Barrio-Castro, Tomás del ; López-Bazo, Enrique |
Published in: |
Econometrics Journal. - Royal Economic Society - RES. - Vol. 8.2005, 2, p. 159-175
|
Publisher: |
Royal Economic Society - RES |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Breaking the panels : an application to the GDP per capita
Carrion i Silvestre, Josep Lluís, (2005)
-
Level shifts in a panel data based unit root test. An application to the rate of unemployment
Carrion-i-Silvestre, Josep Lluís, (2002)
-
Breaking the panels: An application to the GDP per capita
Carrion-i-Silvestre, Josep Lluís, (2005)
- More ...