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Detection of Structural Breaks in Linear Dynamic Panel Data Models

Author

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  • 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.

Suggested Citation

  • Stefan de Wachter & Elias Tzavalis, 2004. "Detection of Structural Breaks in Linear Dynamic Panel Data Models," Working Papers 505, Queen Mary University of London, School of Economics and Finance.
  • Handle: RePEc:qmw:qmwecw:wp505
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/archive/wp505.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Panel data; Structural break; Break detection;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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