Testing for Panel Unit Roots in the Presence of an Unknown Structural Break and Cross-Sectional Dependency

Abdullah Almasri, Kristofer Månsson (), Pär Sjölander and Ghazi Shukur
Additional contact information
Abdullah Almasri: Karlstad University, Postal: Department of Economics and Statistics, Karlstad, Sweden

No 63, HUI Working Papers from HUI Research

Abstract: This paper introduces two different non-parametric tests for panel unit root based on the wavelet decomposition of time series which may be used in the presence of cross-sectional dependency and an unknown structural break in the data. These tests are compared with the parametric IPS test proposed by Im, Pesaran and Shin (1997) and the Wald test suggested by Taylor and Sarno (1998).

By means of Monte Carlo simulations, the results shown that the size and power properties of the new non-parametric tests are robust to cross sectional dependency of the error terms. Furthermore, it is shown that the tests may be used when the time series has an unknown structural break. These tests have also shown to have high power against the alternative hypothesis under the above mentioned conditioned, whiles the IPS and the Wald did not have any power to reject the alternative hypothesis in the presence of structural break in the data.

Keywords: Panel unit root test; cross-sectional dependency; structural break; wavelet (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2012-04-18
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.hui.se/MediaBinaryLoader.axd?MediaArchi ... e_ForceDownload=true (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.hui.se/MediaBinaryLoader.axd?MediaArchive_FileID=ae92029b-8141-4431-98b6-cabf6902a30e&FileName=HUIwp63.pdf&MediaArchive_ForceDownload=true [301 Moved Permanently]--> https://www.hui.se/MediaBinaryLoader.axd?MediaArchive_FileID=ae92029b-8141-4431-98b6-cabf6902a30e&FileName=HUIwp63.pdf&MediaArchive_ForceDownload=true [301 Moved Permanently]--> https://hui.se/MediaBinaryLoader.axd?MediaArchive_FileID=ae92029b-8141-4431-98b6-cabf6902a30e&FileName=HUIwp63.pdf&MediaArchive_ForceDownload=true)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:huiwps:0063

Access Statistics for this paper

More papers in HUI Working Papers from HUI Research Handelns Forskningsinstitut, c/o HUI Research, Regeringsgatan 60, 103 29 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Hans Seerar Westerberg ().