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

See all articles by Jamie Emerson

Jamie Emerson

Salisbury University - Franklin P. Perdue School of Business

Chihwa Kao

Syracuse University

Date Written: March 1, 2000

Abstract

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

Emerson, Jamie and Kao, Chihwa D., Testing for Structural Change of a Time Trend Regression in Panel Data (March 1, 2000). Syracuse University Center for Policy Research Working Paper No. 15, Available at SSRN: https://ssrn.com/abstract=1808001 or http://dx.doi.org/10.2139/ssrn.1808001

Jamie Emerson

Salisbury University - Franklin P. Perdue School of Business ( email )

1101 Camden Avenue
Salisbury, MD 21801
United States

Chihwa D. Kao (Contact Author)

Syracuse University ( email )

900 S. Crouse Avenue
426 Eggers Hall Maxwell School of Citizenship and Public Affairs
Syracuse, NY 13244
United States
315-443-3233 (Phone)
315-443-1081 (Fax)

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