Testing for Unit Roots in Panel Time Series Models with Multiple Breaks

Joakim Westerlund

No 384, Working Papers in Economics from University of Gothenburg, Department of Economics

Abstract: This paper proposes two new unit root tests that are appropriate in the presence of an unknown number of structural breaks. One is based on a single time series and the other is based on a panel of multiple series. For the estimation of the number of breaks and their locations, a simple procedure based on outlier detection is proposed. The limiting distributions of the tests are derived and evaluated in small samples using simulation experiments. The implementation of the tests is illustrated using as an example purchasing power parity.

Keywords: Unit root test; Structural break; Outlier detection; Common factor; Purchasing power parity (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 F31 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2009-09-29
New Economics Papers: this item is included in nep-ecm and nep-ets
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