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...

In this paper we suggest a Bayesian approach for inferring stationary autoregressive models allowing for possible structural changes (known as breaks) in both the mean and the error variance of economic series occuring at unknown times. Efficient Bayesian inference for the unknown number and...

Missing data or missing values are a common phenomenon in applied panel data research and of great interest for panel data unit root testing. The standard approach in the literature is to balance the panel by removing units and/or trimming a common time period for all units. However, this...