Testing for Panel Cointegration with Multiple Structural Breaks*
提出一种拉格朗日乘子检验，用于检验面板回归中允许水平和趋势存在多个结构断点的协整原假设，并应用于经常账户偿付能力分析。
Abstract This 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.