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Title
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Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models
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Author
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Abstract
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| This note shows how to use the GMM model and moment selection procedures of [Andrews, D. W. K., and B. Lu (2001): "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, 101, 123-164.] for the purpose of detection of a general structural break in a dynamic panel data model. It compares the resulting method with the classical hypothesis testing approach of [De Wachter, S., and E. Tzavalis (2004): "Detection of structural breaks in linear dynamic panel data models," QM University of London working paper nr 505.]. Out of 3 model selection criteria studied, the GMM-HQIC criterion is found to perform most similarly to the classical hypothesis test. |
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Language
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English
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Source (journal)
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Economics letters. - Amsterdam
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Publication
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Amsterdam
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2005
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ISSN
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0165-1765
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DOI
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10.1016/J.ECONLET.2005.01.010
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Volume/pages
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88
:1
(2005)
, p. 91-96
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ISI
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000229720900015
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Full text (Publisher's DOI)
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