Smooth structural changes and common factors in nonstationary panel data: an analysis of healthcare expenditures†
提出允许平滑结构变化并控制截面相关的新面板单位根检验，模拟显示良好性质，用于OECD国家医疗支出持久性分析。
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.