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Wiley InterScience | |||||||||||||
  Oxford Bulletin of Economics and StatisticsVolume 68 Issue 1, Pages 101 - 132 Published Online: 2 Feb 2006 © 2010 Blackwell Publishing Ltd and the Department of Economics, University of Oxford
Abstract | References | Full Text: HTML, PDF (Size: 206K) | Related Articles | Citation Tracking  Testing for Panel Cointegration with Multiple Structural Breaks* *The author thanks Anindya Banerjee and two anonymous referees for many valuable comments and suggestions. The author would also like to thank David Edgerton, Johan Lyhagen, Michael Bergman and seminar participants at Lund University. Financial support from the Jan Wallander and Tom Hedelius Foundation, research grant number P2005-0117:1, is gratefully acknowledged. The usual disclaimer applies. Copyright 2006 Blackwell Publishing Ltd KEYWORDS C12 • C32 • C33 • F21 ABSTRACTThis paper proposes a Lagrange multiplier (LM) test for the null hypothesis of cointegration that allows for the possibility of multiple structural breaks in both the level and trend of a cointegrated panel regression. The test is general enough to allow for endogenous regressors, serial correlation and an unknown number of breaks that may be located at different dates for different individuals. We derive the limiting distribution of the test and conduct a small Monte Carlo study to investigate its finite sample properties. In our empirical application to the solvency of the current account, we find evidence of cointegration between saving and investment once a level break is accommodated. Final Manuscript Received: May 2005 | 
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