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Sequential testing for multiple breaks in heterogeneous panel models

Develop sequential testing procedures that estimate the number and locations of structural breaks in panel data models with heterogeneous slope coefficients across individuals or groups, and establish their asymptotic properties.

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Background

While lasso-based and other methods exist for heterogeneous panels with multiple breaks, a sequential testing approach analogous to homogeneous-panel settings has not been proposed. Such development would provide a complementary inferential framework suited to diverse macro panel applications.

References

To our knowledge, a sequential testing approach to infer multiple breaks has not been proposed in this setting, and, for completeness, we provide a brief summary of other available methods.

— 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 (Heterogeneous panels)