Testing for Structural Change of a Time Trend Regression in Panel Data

Jamie Emerson and Chihwa Kao

No 15, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: In this paper we propose two classes of test statistics for detecting a break at an unknown date in panel data models with time trend. The first one is the fluctuation test of Ploberger-Kramer-Kontrus (1989). The second one is based on the mean and exponential Wald statistics of Andrew and Ploberger (1994) and maximum Wald statistic of Andrew (1993). We derive the limiting distributions of the proposed test and tabulate the critical values. Asymptotic results were derived I(0), I(1) and nearly I(1) error terms. We also show that these tests have non-trivial local power only when the error terms are I(0).

JEL-codes: C22 C23 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2000-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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