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Panel Unit Root Tests with Structural Breaks

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

Discussion Papers from Department of Economics, University of Birmingham

Abstract: This article introduces the xtbunitroot command in Stata, which implements the panel data unit root tests developed by Karavias and Tzavalis (2014). 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) and Lumsdaine and Papell (1997). 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.

Keywords: Panel data; Unit root; Structural break; Banking; COVID–19; xtbunitroot (search for similar items in EconPapers)
Pages: 13 pages
Date: 2021-07
New Economics Papers: this item is included in nep-ets
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https://repec.cal.bham.ac.uk/pdf/21-12.pdf

Related works:
Journal Article: Panel unit-root tests with structural breaks (2022) Downloads
Working Paper: Panel Unit Root Tests with Structural Breaks (2021) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bir:birmec:21-12

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