This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 macroeconomic variables of OECD countries can be best represented as random walk or stationary fluctuations around a deterministic trend. In contrast to previous studies, based...

Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a common time period for all units. However, this...

We develop a new Bayesian panel regression approach to estimating an unknown number of breaks and forecasting future outcomes in the presence of scarce information from new regimes. Our approach allows the parameters to be heterogeneous across units but assumes that the timing of breaks is...