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Structural changes, common stochastic trends and unit roots in panel data

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  • Jushan Bai; Josep Lluís Carrion-i-Silvestre
Abstract
In this paper we propose a new test statistic that considers multiple structural breaks to analyse the non-stationarity of a panel data set. The methodology is based on the common factor analysis in an attempt to allow for some sort of dependence across the individuals. Thus allowing for multiple structural breaks in the †Panel Analysis of Non-stationarity in Idiosyncratic and Common components†(PANIC) methodology increases the degree of heterogeneity when assessing the stochastic properties of the panel data set

Suggested Citation

  • Jushan Bai; Josep Lluís Carrion-i-Silvestre, 2004. "Structural changes, common stochastic trends and unit roots in panel data," Econometric Society 2004 North American Summer Meetings 345, Econometric Society.
    • Handle: RePEc:ecm:nasm04:345
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    multiple structural breaks; common factors; panel data unit root tests; principal components;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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