In this paper, we extend the heterogeneous panel data stationarity test of Hadri ["Econometrics Journal", Vol. 3 (2000) pp. 148-161] to the cases where breaks are taken into account. Four models with different patterns of breaks under the null hypothesis are specified. Two of the models have...

In this paper, we investigate a test for structural change in the long-run persistence in a univariate time series. Our model has a unit root with no structural change under the null hypothesis, while under the alternative it changes from a unit-root process to a stationary one or vice versa. We...