This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of non-stationarity in the data. We refer to it as PANIC - a 'Panel Analysis of Non-stationarity in Idiosyncratic and Common components'. PANIC consists of univariate...

This paper considers the problem of testing for structural changes in the trend function of a univariate time series without any prior knowledge as to whether the noise component is stationary or contains an autoregressive unit root. We propose a new approach that builds on the work of Perron...