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Panel unit-root tests with structural breaks

Author

Listed:
  • Pengyu Chen

    (University of Birmingham)

  • Yiannis Karavias

    (University of Birmingham)

  • Elias Tzavalis

    (Athens University of Economics and Business)

Abstract

In this article, we introduce a new community-contributed command called xtbunitroot, which implements the panel-data unit-root tests developed by Karavias and Tzavalis (2014, Computational Statistics and Data Analysis 76: 391–407). These tests allow for one or two structural breaks in deterministic components of the series and can be seen as panel-data counterparts of the tests by Zivot and Andrews (1992, Journal of Business and Economic Statistics 10: 251–270) and Lumsdaine and Papell (1997, Review of Economics and Statistics 79: 212–218). The dates of the breaks can be known or unknown. The tests allow for intercepts and linear trends, nonnormal errors, and cross-section heteroskedas- ticity and dependence. They have power against homogeneous and heterogeneous alternatives and can be applied to panels with small or large time-series dimensions.

Suggested Citation

  • Pengyu Chen & Yiannis Karavias & Elias Tzavalis, 2022. "Panel unit-root tests with structural breaks," Stata Journal, StataCorp LP, vol. 22(3), pages 664-678, September.
    • Handle: RePEc:tsj:stataj:y:22:y:2022:i:3:p:664-678
    DOI: 10.1177/1536867X221124541
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    1. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
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    4. Sebastian Kripfganz & Vasilis Sarafidis, 2021. "Instrumental-variable estimation of large-T panel-data models with common factors," Stata Journal, StataCorp LP, vol. 21(3), pages 659-686, September.
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