Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models

Economics Letters

Volumn 88, Issue 1, 2005, Pages 91-96

  De Wachter, Stefan ^a   Tzavalis, Elias ^b  

^a UNIVERSITY OF OXFORD   (United Kingdom)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Model and moment selection; Panel data; Structural break

Indexed keywords

EID: 19144372854     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2005.01.010     Document Type: Article

References (5)

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2. D.W.K. Andrews B. Lu Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models Journal of Econometrics 101 2001 123-164
3. M. Arellano S. Bond Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations Review of Economic Studies 58 1991 277-297
4. De Wachter, S., Tzavalis, E., 2004. Detection of structural breaks in linear dynamic panel data models. QM University of London Working Paper 505.
5. Doornik, J., 1999. Object-oriented matrix programming using Ox. Timberlake Consultants Press and www.nuff.ox.ac.uk /Users/Doornik, 3rd edn.