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

Author(s)/Creator(s)

Jamie Emerson
Chihwa Kao, Syracuse University, Maxwell School, Center for Policy Research.Follow

Description/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).

Document Type

Working Paper

Date

2000

Keywords

panel data, fluctuation tests, Wald statistics

Language

English

Series

Working Papers Series

Disciplines

Mathematics

Additional Information

Harvest from RePEc at http://repec.org

Recommended Citation

Emerson, Jamie and Kao, Chihwa, "Testing for Structural Change of a Time Trend Regression in Panel Data" (2000). Center for Policy Research. 137.
https://surface.syr.edu/cpr/137

Source

Metadata from RePEc