Search Results - subject:"testing for structural changes"

Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trend

Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - Center for Policy Research, Maxwell School - 2007

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...

Persistent link: https://www.econbiz.de/10005698390

Modelling and Testing for Structural Changes in Panel Cointegration Models with Common and Idiosyncratic Stochastic Trends

Kao, Chihwa; Trapani, Lorenzo; Urga, Giovanni - Dipartimento di Ingegneria Gestionale, Università … - 2007

In this paper, we propose an estimation and testing framework for parameter instability in cointe- grated 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...

Persistent link: https://www.econbiz.de/10008852181