Chan, Félix; Mancini-Griffoli, Tommaso; Pauwels, Laurent L. - HAL - 2006
This paper proposes a new test for structural instability in heterogeneous panels. The test builds on the seminal work of Andrews (2003) originally developed for time series. It is robust to non-normal, heteroskedastic and serially correlated errors, and allows for the number of post break...