Panel unit-root tests with structural breaks

• Autores: Pengyu Chen, Yiannis Karavias, Elias Tzavalis
• Localización: The Stata journal, ISSN 1536-867X, Vol. 22, Nº. 3, 2022, págs. 664-678
• Idioma: inglés
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• Resumen

  • 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 Statistics79: 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