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In this paper, we consider the case of finite time dimension in the panel stationarity tests with a structural break.
Keywords: Panel data; Structural breaks; Stationarity tests; Moments of the ratio of two dependent quadratic forms.
Additionally, since the pioneering work of Perron (1989) which illustrates the need to allow for a structural break when testing for a unit root in economic time series, the problem of structural breaks in the level/slope of a series has proved to be of considerable interest in the unit root testing literature.
Perron (1989) and Amsler and Lee (1995) have found that unit root tests are biased toward accepting the false unit root null hypothesis in the presence of a structural break.
It is widely accepted that the failure of taking into account structural breaks is likely to lead to a significant loss of power in unit root tests and size distortion in stationarity test.
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