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Panel unit-root tests with structural breaks
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DOI：10.1177/1536867X221124541.png)
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Abstract
En 中文
In this article, we introduce a new community-contributed command called xtbunitroot, which implements the panel-data unit-root tests developed by Karavias and Tzavalis (2014, Computational Statistics and Data Analysis 76: 391-407). These tests allow for one or two structural breaks in deterministic components of the series and can be seen as panel-data counterparts of the tests by Zivot and Andrews (1992, Journal of Business and Economic Statistics 10: 251-270) and Lumsdaine and Papell (1997, Review of Economics and Statistics 79: 212-218). The dates of the breaks can be known or unknown. The tests allow for intercepts and linear trends, nonnormal errors, and cross-section heteroskedasticity and dependence. They have power against homogeneous and heterogeneous alternatives and can be applied to panels with small or large time-series dimensions.
Keywords:
st0687
xtbunitroot
panel data
unit root
structural break
banking
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