Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data
نویسندگان
چکیده
This note shows how to use the GMM model and moment selection procedures of Andrews and Lu (2001) for the purpose of detection of a general structural break in a dynamic panel data model. It compares the resulting method with the classical hypothesis testing approach of De Wachter and Tzavalis (2004). Out of 3 model selection criteria studied, the GMMHQIC criterion is found to perform most similarly to the classical hypothesis test.
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تاریخ انتشار 1987