We compare the asymptotic relative efficiency of the Exp, Mean, and Sup functionals of the Wald, LM and LR tests for structural change analyzed by Andrews (1993) and Andrews and Ploberger (1994). We derive the approximate Bahadur slopes of these tests using large deviations techniques. These...

In this paper, I analyse issues related to the estimation of a common break in a large panel of time series data. Each series in the panel consists of a linear time trend and a random error. The linear time trend is subject to a break that occurs at the same date for all series. The error term...

SUMMARY This paper estimates the effects of unilateral divorce laws on divorce rates in the USA from a panel of state‐level divorce rates. We use the interactive fixed‐effects model to address the issue of endogeneity due to the association between cross‐state unobserved heterogeneity and...

Earlier attempts to find evidence of time varying coefficients in the U.S. monetary vector autoregression have been only partially successful. Structural break tests applied to typical data sets often fail to reject the null hypothesis of no break. Bayesian inferences using time varying...

Perron (1989) introduced unit root tests valid when a break at a known date in the trend function of a time series is present, which are invariant to the magnitude of the shift in level and/or slope and to allow them under both the null and alternative hypotheses. The subsequent literature...