Testing for Unit Roots in Panels in the Presence of Structural Change with an Application to Oecd Unemployment

@inproceedings{Murraya2000TestingFU,
  title={Testing for Unit Roots in Panels in the Presence of Structural Change with an Application to Oecd Unemployment},
  author={Christian J. Murraya and David H. Papellb},
  year={2000}
}
  • Christian J. Murraya, David H. Papellb
  • Published 2000
There has been extensive research on testing for unit roots in the presence of structural change and on testing for unit roots in panels. This paper takes a small step towards combining the two research agendas. We propose a unit root test for non-trending data in the presence of a one-time change in the mean for a heterogeneous panel. The date of the break is determined endogenously. We perform simulations to investigate the power of the test, and apply the test to a data set of annual… CONTINUE READING
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