Testing for panel cointegration with multiple structural breaks
Författare
Summary, in English
This paper proposes a Lagrange multiplier (LM) test for the null hypothesis of cointegration that allows for the possibility of multiple structural breaks in both the level and trend of a cointegrated panel regression. The test is general enough to allow for endogenous regressors, serial correlation and an unknown number of breaks that may be located at different dates for different individuals. We derive the limiting distribution of the test and conduct a small Monte Carlo study to investigate its finite sample properties. In our empirical application to the solvency of the current account, we find evidence of cointegration between saving and investment once a level break is accommodated.
Avdelning/ar
Publiceringsår
2006
Språk
Engelska
Sidor
101-132
Publikation/Tidskrift/Serie
Oxford Bulletin of Economics and Statistics
Volym
68
Issue
1
Länkar
Dokumenttyp
Artikel i tidskrift
Förlag
Wiley-Blackwell
Ämne
- Economics
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1468-0084