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Information criteria for dynamic panels with fixed effects and multiple breaks

Develop asymptotic results establishing consistency of information-criteria-based methods (e.g., BIC-type criteria) for estimating the number and locations of structural breaks in dynamic panel data models with fixed effects when the time dimension T is fixed.

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Background

For panel models with fixed effects and dynamic regressors, break-detection using information criteria lacks general asymptotic theory when T is fixed and multiple breaks are present. This limits practical application of IC-based break selection in macro panel settings.

References

To our knowledge, asymptotic results on alternative methods based on information criteria are not currently available in full generality to be applicable to dynamic panels with fixed-effects, multiple break-points and fixed $T$.

— Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments (2507.22204 - Boldea et al., 29 Jul 2025) in Section 4, Linear panel data models (Homogeneous panels)