A Simple Panel Unit‐Root Test with Smooth Breaks in the Presence of a Multifactor Error Structure
扩展了Pesaran等人的面板单位根检验，允许确定性项中存在由傅里叶函数建模的平滑结构变化，提出了BCIPS统计量，并通过蒙特卡洛实验验证其良好性质，最后用于检验长期购买力平价的有效性。
Abstract This paper extends the cross‐sectionally augmented panel unit‐root test ( CIPS ) developed by Pesaran et al . (2013, Journal of Econometrics , Vol. 175, pp. 94–115) to allow for smoothing structural changes in deterministic terms modelled by a Fourier function. The proposed statistic is called the break augmented CIPS ( BCIPS ) statistic. We show that the non‐standard limiting distribution of the (truncated) BCIPS statistic exists and tabulate its critical values. Monte‐Carlo experiments point out that the sizes and powers of the BCIPS statistic are generally satisfactory as long as the number of time periods, T , is not less than fifty. The BCIPS test is then applied to examine the validity of long‐run purchasing power parity.