Detection of Structural Breaks in Linear Dynamic Panel Data Models

Stefan De Wachter and Elias Tzavalis
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Stefan De Wachter: Queen Mary, University of London

No 505, Working Papers from Queen Mary University of London, School of Economics and Finance

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.

Keywords: Panel data; Structural break; Break detection (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2004-02-01
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Citations: View citations in EconPapers (13)

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Journal Article: Detection of structural breaks in linear dynamic panel data models (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:505

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