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http://bura.brunel.ac.uk/handle/2438/27715
Title: | Panel unit-root tests with structural breaks |
Authors: | Chen, P Karavias, Y Tzavalis, E |
Keywords: | st0687;xtbunitroot;panel data;unit root;structural break;banking;COVID-19 |
Issue Date: | 1-Sep-2022 |
Publisher: | SAGE Publications |
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. |
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. |
URI: | https://bura.brunel.ac.uk/handle/2438/27715 |
DOI: | https://doi.org/10.1177/1536867X221124541 |
ISSN: | 1536-867X |
Other Identifiers: | ORCID iD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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