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Detection of Structural Breaks in Linear Dynamic Panel Data Models

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Author Info
Stefan de Wachter (Queen Mary, University of London)
Elias Tzavalis (Queen Mary, University of London)
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.

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Publisher Info
Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 505.

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Date of creation: Feb 2004
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Handle: RePEc:qmw:qmwecw:wp505

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Related research
Keywords: Panel data; Structural break; Break detection;

Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data

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