Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al …

This paper develops a consistent series-based specification test for semiparametric panel data models with fixed …

dependence and random individual effects in a panel data regression model. It turns out that this LM statistic is the sum of two …

This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 … break models are allowed for in the panel. Our results suggest, overwhelmingly, that if we account for a structural break …

restrictions for standard GMM estimators in autoregressive panel data models. A comparison is made with recent test proposals based …

Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions … of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are … assumed to have common values across panel units. However, the assumption of poolability has not been studied extensively …

An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null …, under the alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the …

-integrating relationship in levels, for long panels. It is a natural extension to panel data of the respective approach in time series as … standard inference is not valid for at least one of the tests in our proposed panel BTP. Codes that generate sample …

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …

Panel or grouped data are often used to allow for unobserved individual heterogeneity in econometric models via fixed … effects. In this paper, we discuss identification of a panel data model in which the unobserved heterogeneity both enters …