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Testing for unit roots in panel time-series models with multiple level breaks

Westerlund, Joakim 2012, Testing for unit roots in panel time-series models with multiple level breaks, Manchester school, vol. 80, no. 6, pp. 671-699, doi: 10.1111/j.1467-9957.2012.02270.x.

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Title Testing for unit roots in panel time-series models with multiple level breaks
Author(s) Westerlund, Joakim
Journal name Manchester school
Volume number 80
Issue number 6
Start page 671
End page 699
Total pages 29
Publisher Wiley-Blackwell
Place of publication Chichester, England
Publication date 2012-12
ISSN 1463-6786
1467-9957
Summary This paper proposes two new unit root tests that are appropriate in the presence of an unknown number of structural breaks in the level of the data. 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.
Language eng
DOI 10.1111/j.1467-9957.2012.02270.x
Field of Research 150202 Financial Econometrics
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2012, Wiley-Blackwell Publishing
Persistent URL http://hdl.handle.net/10536/DRO/DU:30057291

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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