Detection of Structural Breaks in Linear Dynamic Panel Data Models

This paper develops a break detection procedure for the well-known AR(p) linear panel data model with exogenous or pre-determined regressors. The test allows for a structural break in the slope parameters as well as in the fixed effects. Breaks in the latter are not constrained by any type of cross-sectional homogeneity and are allowed to be correlated with all past information.

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Year of publication:	2004-02
Authors:	Wachter, Stefan de ; Tzavalis, Elias
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Panel data \| Structural break \| Break detection

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 505
Classification:	C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106302