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
Authors:	Wachter, Stefan de ; Tzavalis, Elias
Publisher:	London : Queen Mary University of London, Department of Economics
Subject:	Panel \| Strukturbruch \| Mathematische Optimierung \| Panel data, Structural break, Break detection

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Series:	Working Paper ; 505
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	379287919 [GVK] hdl:10419/62898 [Handle]
Classification:	C23 - Models with Panel Data
Source:	EconStor

Persistent link: https://www.econbiz.de/10010284190