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Testing for Structural Change of a Time Trend Regression in Panel Data

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Abstract

In this paper we propose two classes of test statistics for detecting a break at an unknown date in panel data models with time trend. The first one is the fluctuation test of Ploberger-Kramer-Kontrus (1989). The second one is based on the mean and exponential Wald statistics of Andrew and Ploberger (1994) and maximum Wald statistic of Andrew (1993). We derive the limiting distributions of the proposed test and tabulate the critical values. Asymptotic results were derived I(0), I(1) and nearly I(1) error terms. We also show that these tests have non-trivial local power only when the error terms are I(0).

Suggested Citation

  • Jamie Emerson & Chihwa Kao, 2000. "Testing for Structural Change of a Time Trend Regression in Panel Data," Center for Policy Research Working Papers 15, Center for Policy Research, Maxwell School, Syracuse University.
    • Handle: RePEc:max:cprwps:15
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    File URL: https://surface.syr.edu/cpr/137/
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    Cited by:

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    2. Jensen, Janine & O'Toole, Ronnie & Matthews, Alan, 2003. "Controlling Greenhouse Gas Emissions from the Agricultural Sector in Ireland: A CGE Modeling Approach," Conference papers 331125, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    3. Badi H. Baltagi & Chihwa Kao & Long Liu, 2014. "Test of Hypotheses in a Time Trend Panel Data Model with Serially Correlated Error Component Disturbances," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 347-394, Emerald Group Publishing Limited.
    4. Ludwig, Markus, 2012. "The Visible Hand: National Oil Companies, Oil Supply and the Ermergence of the Hotelling Rent," Working papers 2012/11, Faculty of Business and Economics - University of Basel.
    5. Aparna Sengupta, 2017. "Testing for a Structural Break in a Spatial Panel Model," Econometrics, MDPI, vol. 5(1), pages 1-17, March.
    6. Suzanne McCoskey, 2002. "Convergence in Sub-Saharan Africa: a nonstationary panel data approach," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 819-829.
    7. Kim, Dukpa, 2011. "Estimating a common deterministic time trend break in large panels with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 164(2), pages 310-330, October.
    8. Di Iorio, Francesca & Fachin, Stefano, 2006. "Testing for breaks in cointegrated panels," MPRA Paper 3280, University Library of Munich, Germany.

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    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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