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Testing for panel cointegration with multiple structural breaks

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Author

Summary, in English

This paper proposes a Lagrange multiplier (LM) test for the null hypothesis of cointegration that allows for the possibility of multiple structural breaks in both the level and trend of a cointegrated panel regression. The test is general enough to allow for endogenous regressors, serial correlation and an unknown number of breaks that may be located at different dates for different individuals. We derive the limiting distribution of the test and conduct a small Monte Carlo study to investigate its finite sample properties. In our empirical application to the solvency of the current account, we find evidence of cointegration between saving and investment once a level break is accommodated.

Publishing year

2006

Language

English

Pages

101-132

Publication/Series

Oxford Bulletin of Economics and Statistics

Volume

68

Issue

1

Document type

Journal article

Publisher

Wiley-Blackwell

Topic

  • Economics

Status

Published

ISBN/ISSN/Other

  • ISSN: 1468-0084