Document Type

Working Paper

Date

2000

Embargo Period

6-28-2012

Keywords

panel data, fluctuation tests, Wald statistics

Language

English

Disciplines

Mathematics

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).

Additional Information

Harvest from RePEc at http://repec.org

Source

Metadata from RePEc

Included in

Mathematics Commons

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