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Testing for panel cointegration with multiple structural breaks

Westerlund, Joakim 2006, Testing for panel cointegration with multiple structural breaks, Oxford bulletin of economics and statistics, vol. 68, no. 1, pp. 101-132, doi: 10.1111/j.1468-0084.2006.00154.x.

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Title Testing for panel cointegration with multiple structural breaks
Author(s) Westerlund, Joakim
Journal name Oxford bulletin of economics and statistics
Volume number 68
Issue number 1
Start page 101
End page 132
Total pages 32
Publisher Wiley
Place of publication Chichester, Eng.
Publication date 2006-02
ISSN 0305-9049
1468-0084
Keyword(s) Social Sciences
Science & Technology
Physical Sciences
Economics
Social Sciences, Mathematical Methods
Statistics & Probability
Business & Economics
Mathematical Methods In Social Sciences
Mathematics
FELDSTEIN-HORIOKA PUZZLE
RESIDUAL-BASED TESTS
UNIT-ROOT
STATISTICAL-INFERENCE
EFFICIENT ESTIMATION
CAPITAL MOBILITY
MODELS
REGRESSION
SHIFTS
NULL
C12
C32
C33
F21
Panel Cointegration
Residual-Based Cointegration Test
Structural Break
Monte Carlo Simulation
Feldstein-Horioka Puzzle.
Summary This paper proposes a Lagrange multiplier (LM) test for the null hypothesis of cointegration that allows for the possibility of multiple structural breaks in both the level and trend of a cointegrated panel regression. The test is general enough to allow for endogenous regressors, serial correlation and an unknown number of breaks that may be located at different dates for different individuals. We derive the limiting distribution of the test and conduct a small Monte Carlo study to investigate its finite sample properties. In our empirical application to the solvency of the current account, we find evidence of cointegration between saving and investment once a level break is accommodated. © Blackwell Publishing Ltd, 2006.
Language eng
DOI 10.1111/j.1468-0084.2006.00154.x
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2006, Wiley
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078237

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