Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends

Chihwa Kao, Lorenzo Trapani () and Giovanni Urga

No 708, Working Papers from Department of Management, Information and Production Engineering, University of Bergamo

Abstract: In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative hypothesis of (at least) one common change point which is possibly unknown. The limiting distributions of the proposed test statistics are derived. Monte Carlo simulations examine size and power of the proposed tests.

Keywords: cPanel cointegration; Common and idiosyncratic stochastic trends; testing for structural changes (search for similar items in EconPapers)
JEL-codes: C12 C13 C32 C33 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:brh:wpaper:0708

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