Panel unit-root tests with structural breaks

Pengyu Chen (), Yiannis Karavias and Elias Tzavalis
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Pengyu Chen: University of Birmingham

Stata Journal, 2022, vol. 22, issue 3, 664-678

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 heteroskedas- ticity and dependence. They have power against homogeneous and heterogeneous alternatives and can be applied to panels with small or large time-series dimensions.

Keywords: xtbunitroot; panel data; unit root; structural break; banking; COVID-19 (search for similar items in EconPapers)
Date: 2022
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Working Paper: Panel Unit Root Tests with Structural Breaks (2021)
Working Paper: Panel Unit Root Tests with Structural Breaks (2021)
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DOI: 10.1177/1536867X221124541

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