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...

A probit model is used to examine the stability of the predictive content of the term structure in forecasting U.S. recessions. In particular, we compare forecasts of a recession under different assumptions regarding the presence of a structural break. We find strong evidence of the existence of a structural break in the U.S. economy, but there is considerable uncertainty about its exact locati...

In this paper we consider the Wald test statistic proposed by Watt (1979) for testing equality between the sets of regression coefficients in two linear regression models when the disturbance variances may possibly be unequal. This test can be also used as a test for a structural break. As shown by Ohtani and Toyoda (1985) and Honda and Ohtani (1986), the test based on the Wald test statistic s...

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeco...

This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving many important macroeconomic time series, we de...

Amongst Asian countries India is one of the most vulnerable countries to climate change. During the past century, surface temperature in India has shown a significant increasing trend. In this paper, we have investigated behavior of mean monthly temperature during the period 1901-2001 over four agroclimatic zones of India and also tried to detect structural change in the temperature series. A s...

Unit root tests for time series with level shifts are considered. The level shift is assumed to occur at a known time point. In contrast to some other proposals the level shift is modeled as part of the intercept term of the stationary component of the data generation process which is separated from the unit root component. In this framework simple shift functions result in a smooth transition ...