Open AccessBreaking the panels: An application to the GDP per capita
Author(s) -
Lluís CarrioniSilvestre Josep,
Del BarrioCastro Tomás,
LópezBazo Enrique
Publication year - 2005
Publication title -
the econometrics journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.861
H-Index - 36
eISSN - 1368-423X
pISSN - 1368-4221
DOI - 10.1111/j.1368-423x.2005.00158.x
Subject(s) - econometrics , per capita , null hypothesis , statistic , economics , sample (material) , panel data , test statistic , position (finance)
Summary This paper proposes a test statistic for the null hypothesis of panel stationarity that allows for the presence of multiple structural breaks. Two different specifications are considered depending on the structural breaks affecting the individual effects and/or the time trend. The model is flexible enough to allow the number of breaks and their position to differ across individuals. The test is shown to have a standard normal limit distribution with a good finite sample performance. It is applied to typical panel data of real per capita GDP in a set of OECD countries.