Title: Structural breaks in panel data models with stationary regressors
Authors: Marie Huskova - Charles University (Czech Republic) [presenting]
Adam laf - Charles University (Czech Republic)
Abstract: The aim is to test and detect structural breaks in the panel data setup with stationary regressors when both $T$ (time dimension) $N$ (number of panels) tend to infinity. Test procedures for no break versus there is a break and estimators of the time of structural break are developed. The asymptotic behavior of the test statistics and break point estimators will be presented. Theoretical results are accompanied by simulations and the application in the framework of the four factors CAPM model for monthly returns of the US mutual fund during the period covering the subprime crises.