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DC Field | Value | Language |
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dc.contributor.author | Chen, P | - |
dc.contributor.author | Karavias, Y | - |
dc.contributor.author | Tzavalis, E | - |
dc.date.accessioned | 2023-11-23T19:47:33Z | - |
dc.date.available | 2023-11-23T19:47:33Z | - |
dc.date.issued | 2022-09-01 | - |
dc.identifier | ORCID iD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537 | - |
dc.identifier.citation | Chen, P., Karavias, Y. and Tzavalis, E. (2022) 'Panel unit-root tests with structural breaks', Stata Journal, 22 (3), pp. 664 - 678. doi: 10.1177/1536867X221124541. | en_US |
dc.identifier.issn | 1536-867X | - |
dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/27715 | - |
dc.description.abstract | 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. | en_US |
dc.format.extent | 664 - 678 | - |
dc.format.medium | Print-Electronic | - |
dc.language.iso | en_US | en_US |
dc.publisher | SAGE Publications | en_US |
dc.rights | Copyright © StataCorp LLC 2022. Rights and permissions: Creative Commons License (CC BY 4.0). This article is distributed under the terms of the Creative Commons Attribution 4.0 License (https://creativecommons.org/licenses/by/4.0/) which permits any use, reproduction and distribution of the work without further permission provided the original work is attributed as specified on the SAGE and Open Access pages (https://us.sagepub.com/en-us/nam/open-access-at-sage). | - |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
dc.subject | st0687 | en_US |
dc.subject | xtbunitroot | en_US |
dc.subject | panel data | en_US |
dc.subject | unit root | en_US |
dc.subject | structural break | en_US |
dc.subject | banking | en_US |
dc.subject | COVID-19 | en_US |
dc.title | Panel unit-root tests with structural breaks | en_US |
dc.type | Article | en_US |
dc.identifier.doi | https://doi.org/10.1177/1536867X221124541 | - |
dc.relation.isPartOf | Stata Journal | - |
pubs.issue | 3 | - |
pubs.publication-status | Published | - |
pubs.volume | 22 | - |
dc.identifier.eissn | 1536-8734 | - |
dc.rights.holder | StataCorp LLC | - |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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FullText.pdf | Copyright © StataCorp LLC 2022. Rights and permissions: Creative Commons License (CC BY 4.0). This article is distributed under the terms of the Creative Commons Attribution 4.0 License (https://creativecommons.org/licenses/by/4.0/) which permits any use, reproduction and distribution of the work without further permission provided the original work is attributed as specified on the SAGE and Open Access pages (https://us.sagepub.com/en-us/nam/open-access-at-sage). | 378.21 kB | Adobe PDF | View/Open |
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