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Breitung Test

The Breitung test, introduced by Jörg Breitung in 2000, is a nonparametric panel unit-root test designed to assess whether all cross-sectional units in a balanced panel share a common unit root. Unlike competing first-generation tests, it avoids bias-correction terms that depend on lag selection or kernel bandwidth estimation, thereby preserving local power under a homogeneous alternative. It is widely used in macroeconometrics and finance when the researcher suspects cross-sectional homogeneity in the autoregressive structure.

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Breitung Panel Unit-Root Test

Taksonomski zapis metode · hypothesis-test / econometrics

Breitung, J. (2000). The local power of some unit root tests for panel data. Advances in Econometrics, 15, 161–177. · DOI 10.1016/S0731-9053(00)15006-6

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