Title: Testing structural breaks in large dynamic models
Authors: Zuzana Praskova - Charles University (Czech Republic) [presenting]
Abstract: A linear dynamic panel data model with cross-sectional dependence is considered. A procedure to detect changes in coefficients of lagged variables is proposed and asymptotic distribution of the test statistic is studied as the number of panels and the number of observations converge to infinity. The asymptotic distribution is a functional of a Gaussian process and the critical values of the test can be obtained by simulations only. A bootstrap variant of the test statistic is considered that takes into account both the temporal and the cross-sectional dependences.