Testing For Unit Roots In Panels Allowing For Multiple Structural Breaks

Since the panel data contains two dimensions of time and cross-section,it provides more information and can better separate the random components and improve the accuracy of the unit root test.So,the testing for unit roots in panels has a wide range of applications in the economic research.Moreover,the unit root test of panel considering the structural breaks is a hot topic in recent years.Therefore,the extended research and empirical analysis of unit root test in panels have very important theoretical significance and practical values.In this paper,panel data unit root tests which allow for structural breaks in the individual effects of the AR(1)panel data model are suggested,in which the time-dimension of the panel is fixed and the cross-section is large.Firstly,the basic theory and model of unit root test in time series are introduced.Testing unit root in time series is an important basis of unit root test in panels.Before studying unit root of panels,unit root test in time series is very important.The emphasis is on ADF test.Then,some theories and methods of unit root test of panels without the structural break points are introduced.Secondly,it tells the most important part of this article,which is to test the unit root of panels under the condition of multiple structural break points.The models are established by constructing dummy variables.The statistics can be got with correlated and uncorrelated sequences in error terms respectively.Then,the limiting distribution of test statistics could be obtained by the central limit theorem,and verified by using Monte Carlo simulation finally.Eventually,we choose 11 years GDP data(from 2005 to 2015)of 18 cities of Henan Province as the example of unit root test.According to the results,it is necessary to consider the structural breaks in the stationarity testing.