In this blog, we extend our analysis of unit root testing with structural breaks to panel data. Using panel data unit roots tests found in the GAUSS tspdlib we consider if a panel of international current account balances collectively shows unit root behavior.Tagged in
In this blog, we examine the issue of identifying unit roots in the presence of structural breaks. We will use the quarterly US current account to GDP ratio to compare results from a number of unit root test found in the GAUSS tspdlib library including the: Zivot-Andrews (1992) unit root test with a single structural break, Narayan and Popp (2010) unit root test with two structural breaks, Lee and Strazicich (2013, 2003) LM tests with one and two structural breaks, Enders and Lee Fourier (2012) ADF and LM tests.
This week’s blog brings you the second video in the series examining running publicly available GAUSS code. This video runs the popular code by Hatemi-J for testing cointegration with multiple structural breaks. In this video you will learn how to:Tagged in
- Substitute your own dataset.
- Modify the indexing commands for your data.
- Remove missing values.
- Preview your data after loading with the Ctrl+E keyboard shortcut.