CPR Working Paper Series No. 92
Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend
Chihwa Kao, Lorenzo Trapani and Giovanni Urga
March 2007
Abstract: In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative hypothesis of (at least) one common change point, which is possibly unknown. The limiting distributions of the proposed test statistics are derived. Monte Carlo simulations examine size and power of the proposed tests.
You can download a PDF version of the paper and view it and print it using a FREE copy of Adobe Acrobat Reader.
Click here for the Adobe Acrobat version of CPR Working Paper 92
Or
for more information on ordering a hard copy of this paper, please contact the Publications Officer, Center for Policy Research, 426 Eggers Hall, Syracuse University, Syracuse, New York 13244-1020 or e-mail our Publications Officer at puboff@maxwell.syr.edu. Each hard copy costs $5.00 (US) and payment should be included with mail order.
