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

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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

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