• Medientyp: E-Book
  • Titel: Testing for Breaks in Cointegrated Panels with Common and Idiosyncratic Stochastic Trends
  • Beteiligte: Kao, Chihwa [VerfasserIn]; Trapani, Lorenzo [Sonstige Person, Familie und Körperschaft]; Urga, Giovanni [Sonstige Person, Familie und Körperschaft]
  • Erschienen: [S.l.]: SSRN, [2011]
  • Erschienen in: Syracuse University Center for Policy Research Working Paper ; No. 129
  • Umfang: 1 Online-Ressource (49 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.1805728
  • Identifikator:
  • Entstehung:
  • Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 1, 2011 erstellt
  • Beschreibung: In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem for the partial sample estimators under the null of no break. We show that tests based on sup-Wald statistics are powerful versus breaks of size , also proving that power is present when the time of change differs across units and when only some units have a break. Our framework is extended to the case of cross correlated regressors and endogeneity. Monte Carlo evidence shows that the tests have the correct size and good power properties
  • Zugangsstatus: Freier Zugang