Testing for unit roots in panels with structural changes, spatial and temporal dependence when the time dimension is finite

Yiannis Karavias and Elias Tzavalis

Discussion Papers from University of Nottingham, Granger Centre for Time Series Econometrics

Abstract: Finite T panel data unit root tests allowing for structural breaks, spatial cross section dependence, heteroscedasticity, serial correlation, heterogeneity and non-linear trends are proposed. The structural breaks can be at known or unknown dates. For the latter, analytic probability density functions of the asymptotic distributions of the tests are provided based on a minimum order statistic. The tests can accommodate general forms of spatial dependence for which the spatial weights matrix does not have to be defined due to the utilization of a non-parametric estimator. A set of sufficient conditions which determines admissible deterministic trend functions is also provided. Finally, extensive Monte Carlo experiments show the usefulness of the new tests.

Keywords: Panel data; Unit roots; Structural breaks; Spatial dependence; Serial correlation; Fixed T (search for similar items in EconPapers)
Date: 2014-03
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:not:notgts:14/03

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