Model specification in panel data unit root tests with an unknown break

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Model specification in panel data unit root tests with an unknown break

Although the impact of structural breaks on testing for unit root has been studied extensively for univariate time-series, such impact on panel data unit root tests is still relatively unknown. A major issue is the choice of model in accommodating different types of break prior to testing for unit r...

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Bibliographic Details
Main Authors:	Chan, Felix, Pauwels, L.
Format:	Journal Article
Published:	Elsevier Science 2011
Subjects:	model specification unit roots tests panels structural change Monte Carlo heterogeneous
Online Access:	http://hdl.handle.net/20.500.11937/6586

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