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Testing for panel cointegration with multiple structural breaks

Westerlund, Joakim LU (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:
author
organization
publishing date
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
2020-12-16 01:23:26
@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},
}