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http://hdl.handle.net/10419/62898
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| Title: | | Detection of structural breaks in linear dynamic panel data models  |
| 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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