Detection of structural breaks in linear dynamic panel data models

نویسندگان

  • Stefan De Wachter
  • Elias Tzavalis
چکیده

This paper develops a method for testing for the presence of a single structural break in dynamic panel data models with a multi-factor error structure. The test statistic is developed by combining a modified version of the GMM approach of Robertson and Sarafidis (2015) with the testing procedure of De Wachter and Tzavalis (2012). We focus on the case where N is large and T fixed. The asymptotic properties of the test statistic are established for both known and unknown breakpoints. Using simulated data we show that our method works well in finite samples, both in terms of size and power, as well as in terms of successfully locating where the break is. Dynamic Panel Data, Structural Break Test, Factor Model, Fixed T Consistency, Monte Carlo Simulation. JEL: C12, C23, C26.

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عنوان ژورنال:
  • Computational Statistics & Data Analysis

دوره 56  شماره 

صفحات  -

تاریخ انتشار 2012