Ş. Nazlıoğlu, Junsoo Lee, M. Tieslau, Cagin Karul, Yu You
{"title":"Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†","authors":"Ş. Nazlıoğlu, Junsoo Lee, M. Tieslau, Cagin Karul, Yu You","doi":"10.1080/07474938.2022.2156740","DOIUrl":null,"url":null,"abstract":"Abstract This article suggests new panel unit root tests that allow for multiple structural breaks and control for cross-correlations in the panel. Breaks are modeled with a Fourier function, which allows for smooth or gradual change rather than abrupt breaks. Cross-correlations are corrected by using the PANIC procedure. The simulations show that our tests have good size and power properties and perform reasonably well when the nature of breaks or the factor structure is unknown. The new panel unit root tests support fresh evidence on the persistence of healthcare expenditures in OECD countries.","PeriodicalId":11438,"journal":{"name":"Econometric Reviews","volume":"42 1","pages":"78 - 97"},"PeriodicalIF":0.8000,"publicationDate":"2022-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Reviews","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/07474938.2022.2156740","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 6
Abstract
Abstract This article suggests new panel unit root tests that allow for multiple structural breaks and control for cross-correlations in the panel. Breaks are modeled with a Fourier function, which allows for smooth or gradual change rather than abrupt breaks. Cross-correlations are corrected by using the PANIC procedure. The simulations show that our tests have good size and power properties and perform reasonably well when the nature of breaks or the factor structure is unknown. The new panel unit root tests support fresh evidence on the persistence of healthcare expenditures in OECD countries.
期刊介绍：
Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.
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