Panel Unit Root Tests with Structural Breaks

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

London Stata Conference 2021 from Stata Users Group

Abstract: This presentation introduces a new Stata command, xtbunitroot, 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, non-normal errors, 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. We will describe the econometric theory and illustrate the syntax and options of the command, with some empirical examples.

Date: 2021-09-12
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http://fmwww.bc.edu/repec/usug2021/usug21_chen.pdf presentation materials (application/pdf)

Related works:
Journal Article: Panel unit-root tests with structural breaks (2022)
Working Paper: Panel Unit Root Tests with Structural Breaks (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug21:19

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