We consider estimation of parameters in a regression model with endogenous regressors. The endogenous regressors along with a large number of other endogenous variables are driven by a small number of unobservable exogenous common factors. We show that the estimated common factors can be used as...

An effective way to control for cross-section correlation when conducting a panel unit root test is to remove the common factors from the data. However, there remain many ways to use the defactored residuals to construct a test. In this paper, we use the panel analysis of nonstationarity in...

Sequential (one-by-one) rather than simultaneous estimation of multiple breaks is investigated in this paper. The advantage of this method lies in its computational savings and its robustness to misspecification in the number of breaks. The number of least-squares regressions required to compute...

This paper develops the asymptotic theory for least absolute deviation estimation of a shift in linear regressions. Rates of convergence and asymptotic distributions for the estimated regression parameters and the estimated shift point are derived. The asymptotic theory is developed both for...

We tabulate the limiting cumulative distribution and probability density functions of the least-squares estimator in a first-order autoregressive regression when the true model is near-integrated in the sense of Phillips. The results are obtained using an exact numerical method which integrates...

This paper considers the problem of testing for multiple structural changes in the persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis that the process has an autoregressive unit root throughout the sample against the alternative hypothesis that the process...

Perron (1989, <italic>Econometrica</italic> 57, 1361–1401) introduced unit root tests valid when a break at a known date in the trend function of a time series is present. In particular, they allow a break under both the null and alternative hypotheses and are invariant to the magnitude of the shift in level...