Level shifts in a panel data based unit root test . An application to the rate of unemployment

@inproceedings{CarriniSilvestre2001LevelSI,
  title={Level shifts in a panel data based unit root test . An application to the rate of unemployment},
  author={Josep Llu{\'i}s Carri{\'o}n-i-Silvestre},
  year={2001}
}
Several unit root tests in panel data have recently been proposed. The test developed by Harris and Tzavalis (1999 JoE) performs particularly well when the time dimension is moderate in relation to the cross-section dimension. However, in common with the traditional tests designed for the unidimensional case, it was found to perform poorly when there is a structural break in the time series under the alternative. Here we derive the asymptotic distribution of the test allowing for a shift in the… CONTINUE READING

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