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

Jushan Bai; Josep Lluís Carrion-i-Silvestre
Authors registered in the RePEc Author Service: Josep Lluís Carrion-i-Silvestre () and Jushan Bai ()

No 345, Econometric Society 2004 North American Summer Meetings from Econometric Society

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 â€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

Keywords: multiple structural breaks; common factors; panel data unit root tests; principal components (search for similar items in EconPapers)
JEL-codes: C12 C22 C3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2004-08-11
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Related works:
Journal Article: Structural Changes, Common Stochastic Trends, and Unit Roots in Panel Data (2009)
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Persistent link: http://EconPapers.repec.org/RePEc:ecm:nasm04:345

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