|
|
Research on Unit Root Spurious Test for Panel Data with Structural Change |
CHEN Hai-yan YANG Bao-chen LI Song-chen |
|
|
|
Abstract Spurious unit root tests for panel data with structural change are made by using Monte Carlo methods in this paper. The result shows that unit root tests for panel data with expectation shift are effective only when the number of samples varies greatly before and after the turning point or when expectation shift is not obvious; and unit root tests for panel data with variance shift are ineffective and will lead to spurious result in most cases.
|
Received: 10 September 2009
|
Corresponding Authors:
CHEN Hai-yan
|
|
|
|
|
|
|