GLS detrending, efficient unit root tests and structural change
نویسندگان
چکیده
منابع مشابه
Panel Unit Root Tests with GLS-Detrending With an Application to Purchasing Power Parity
We combined recent developments in univariate and multivariate unit root testing in order to construct a more-powerful panel unit root test. We extended the GLS-detrending procedure of Elliott, Rothenberg, and Stock (1996) to a panel Augmented Dickey-Fuller test. The finite sample power properties of the new test demonstrate a very large gain when compared to existing tests, especially for smal...
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This paper extends the results of Elliott and Jansson (2003) to the context of structural change models. We show that when testing for a unit root against stationarity with an unknown structural break, substantial power gains can be achieved by incorporating extra information contained in an arbitrary number of covariates. The power gains are dependent on the long-run correlation between the sh...
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In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite magnitude. In finite samples, however, experiments reveal that such tests suffer from severe size distortions...
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متن کاملStructural Breaks and Unit Root Tests for Short Panels
In this paper we suggest panel data unit root tests which allow for a potential structural break in the individual e¤ects and/or the trends of each series of the panel, assuming that the time-dimension of the panel, T , is ...xed. The proposed test statistics consider for the case that the break point is known and for the case that it is unknown. Monte Carlo evidence suggests that they have siz...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2003
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(03)00090-3