This paper proposes a new test for structural stability in panels by extending the testing procedure proposed in the seminal work of Andrews (2003) originally developed for time series. The test is robust to non-normal, heteroskedastic and serially correlated errors, and, importantly, allows for...

This paper proposes a unified framework to analyse the theoretical properties of forecast combination. The proposed framework not only is useful for deriving all existing results with ease but also provides important insights into two unresolved puzzles of forecast combination. Specifically,...

This paper proposes a new test for structural stability in panels by extending the testing procedure proposed in the seminal work of Andrews (2003) originally developed for time series. The test is robust to non-normal, heteroskedastic and serially correlated errors, and, importantly, allows for...

This paper examines the finite sample properties of structural change tests with an unknown breakpoint for the probit model in the presence of serial correlation. The combination of structural change and serial correlation renders model estimation challenging, affecting the consistency of...