Pauwels, Felix Chan Tommaso Mancini-Griffoli Laurent L. - International Economics Section, The Graduate Institute … - 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...