How to Run the Fourier LM Test (Video)
Learn everything you need to know to run the Fourier LM unit root test with your data and interpret the results.
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Panel Data Stationarity Test With Structural Breaks
Reliable unit root testing is an important step of any time series analysis or panel data analysis.
However, standard time series unit root tests and panel data unit root tests aren’t reliable when structural breaks are present. Because of this, when structural breaks are suspected, we must employ unit root tests that properly incorporate these breaks.
Today we will examine one of those tests, the Carrion-i-Silvestre, et al. (2005) panel data test for stationarity in the presence of multiple structural breaks.
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How to Interpret Cointegration Test Results
In this blog, we will explore how to set up and interpret cointegration results using a real-world time series example. We will cover the case with no structural breaks as well as the case with one unknown structural break using tools from the GAUSS tspdlib library.
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Panel data, structural breaks and unit root testing
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.
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