In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem for the partial sample estimators under the null of...

We study inference for threshold regression in the context of a large panel factor model with common stochastic trends. We develop a Least Squares estimator for the threshold level, deriving almost sure rates of convergence and proposing a novel, testing based, way of constructing confidence...

This paper studies the asymptotic validity of sieve bootstrap for nonstationary panel factor series. Two main results are shown. Firstly, a bootstrap Invariance Principle is derived pointwise in i, obtaining an upper bound for the order of truncation of the AR polynomial that depends on n and T....