Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Reviews Pub Date : 2022-12-21 DOI:10.1080/07474938.2022.2156740

Ş. Nazlıoğlu, Junsoo Lee, M. Tieslau, Cagin Karul, Yu You

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.

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非平稳面板数据中的平稳结构变化和常见因素：医疗支出分析†

摘要本文提出了新的面板单位根测试，允许面板中的多个结构断裂和交叉相关性控制。使用傅立叶函数对中断进行建模，傅立叶函数允许平滑或渐变，而不是突然中断。交叉相关性通过使用PANIC程序进行校正。模拟表明，我们的测试具有良好的尺寸和功率特性，并且在断裂性质或因子结构未知时表现相当好。新的小组单位根测试支持了经合组织国家医疗支出持续存在的新证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometric Reviews 管理科学-数学跨学科应用

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

>12 weeks

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.