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Title:Detection of structural breaks in linear dynamic panel data models PDF Logo
Authors:Wachter, Stefan de
Tzavalis, Elias
Issue Date: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
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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