Testing for structural change in heterogeneous panels with an application to the Euro’s trade effect

Testing for structural change in heterogeneous panels with an application to the Euro’s trade effect

This paper presents a structural change test for panel data models in which the break (or the change) affects some, but not all, cross-section units in the panel. The test is robust to non-normal, heteroskedastic and autocorrelated errors, as well as end-of-sample structural change. The test amounts...

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Bibliographic Details
Main Authors: Pauwels, L., Chan, Felix, Mancini Griffoli, T.
Format: Journal Article
Published: Walter de Gruyter GmbH & Co. KG 2012
Subjects:
euro effect on trade
parameter stability
common correlated effects
cross-section dependence
structural break
gravity model
Online Access:http://hdl.handle.net/20.500.11937/2697

Internet

http://hdl.handle.net/20.500.11937/2697

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