Heterogeneous structural breaks in panel data models

Detection of structural breaks in linear dynamic panel data models

This paper develops a method for testing for the presence of a single structural break in dynamic panel data models with a multi-factor error structure. The test statistic is developed by combining a modified version of the GMM approach of Robertson and Sarafidis (2015) with the testing procedure of De Wachter and Tzavalis (2012). We focus on the case where N is large and T fixed. The asymptoti...

Purchasing Power Parity Hypothesis In OIC Countries: Evidence From Panel Unit Root Tests With Heterogeneous Structural Breaks

Spatial panel data models with structural change

Spatial panel data models are widely used in empirical studies. The existing theories of spatial models so far have largely confine the analysis under the assumption of parameters stabilities. This is unduely restrictive, since a large number of studies have well documented the presence of structural changes in the relationship of economic variables. This paper proposes and studies spatial pane...

purchasing power parity hypothesis in oic countries: evidence from panel unit root tests with heterogeneous structural breaks

Stationarity of health expenditures and GDP: evidence from panel unit root tests with heterogeneous structural breaks.

This paper re-examines the stationarity of national health care expenditures and GDP in a panel setting utilizing data from 20 OECD countries over the period from 1960 to 1997. Previous research in this area has recognized the drawback of not allowing for structural breaks in their unit root tests and noted that their empirical results may not be robust. We advance the literature by utilizing a...