Introduction In this blog, we extend last week's analysis of unit root testing with structural breaks to panel data. We will again use the quarterly current account to GDP ratio but focus on a panel of data from five countries: United States, United Kingdom, Australia, South Africa, and India. Using panel data unit roots tests [...]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.
Hatemi code for cointegration with multiple structural breaks 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: Substitute your own dataset. Modify the [...]Tagged in