Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62898
Authors: 
Wachter, Stefan de
Tzavalis, Elias
Year of Publication: 
2004
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 505
Abstract: 
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.
Subjects: 
Panel data, Structural break, Break detection
JEL: 
C23
Document Type: 
Working Paper

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