Testing for Structural Change of a Time Trend Regression in Panel Data
Syracuse University Center for Policy Research Working Paper No. 15
42 Pages Posted: 13 Apr 2011
Date Written: March 1, 2000
In this paper, we propose two classes of test statistics for detecting a break at an unknown date in panel data models with time trend. The first one is the fluctuation test of Ploberger-Kramer-Kontrus (1989). The second one is based on the mean and exponential Wald statistics of Andrew and Ploberger (1994) and maximum Wald statistic of Andrew (1993). We derive the limiting distributions of the proposed test and tabulate the critical values. Asymptotic results were derived I (0), I (1) and nearly I (1) error terms. We also show that these tests have non-trivial local power only when the error terms are I (0).
JEL Classification: C22, C23
Suggested Citation: Suggested Citation