Testing for panel cointegration with multiple structural breaks
(2006) In Oxford Bulletin of Economics and Statistics 68(1). p.101-132- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/418072
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2006
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Oxford Bulletin of Economics and Statistics
- volume
- 68
- issue
- 1
- pages
- 101 - 132
- publisher
- Wiley-Blackwell
- external identifiers
-
- wos:000235096700005
- scopus:33645124769
- ISSN
- 1468-0084
- DOI
- 10.1111/j.1468-0084.2006.00154.x
- language
- English
- LU publication?
- yes
- id
- b1b90676-1084-4128-9556-bea94ff56b53 (old id 418072)
- date added to LUP
- 2016-04-01 12:16:16
- date last changed
- 2022-04-21 05:04:15
@article{b1b90676-1084-4128-9556-bea94ff56b53,
abstract = {{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.}},
author = {{Westerlund, Joakim}},
issn = {{1468-0084}},
language = {{eng}},
number = {{1}},
pages = {{101--132}},
publisher = {{Wiley-Blackwell}},
series = {{Oxford Bulletin of Economics and Statistics}},
title = {{Testing for panel cointegration with multiple structural breaks}},
url = {{http://dx.doi.org/10.1111/j.1468-0084.2006.00154.x}},
doi = {{10.1111/j.1468-0084.2006.00154.x}},
volume = {{68}},
year = {{2006}},
}