In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem for the partial sample estimators under the null of...

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will...

A data-driven version of a portmanteau test for detecting nonlinear types of statistical dependence is considered. An attractive feature of the proposed test is that it properly controls type I error without depending on the number of lags. In addition, the automatic test is found to have higher...