This paper develops a new model and estimation procedure for panel data that allows us to identify heterogeneous structural breaks. We individual heterogeneity using grouped pattern. For each group, we allow common breaks in the coefficients. However, number, timing, size of these can differ across groups. develop hybrid fixed effects approach adaptive group fused Lasso. show our method consist...

We discuss the increasing literature on misspecifying structural breaks or more general trends as long range dependence We consider tests on structural breaks in the long memory regression model as well as the behaviour of estimators of the memory parameter when structural breaks or trends are in the data but long memory is not It can be seen that it is hard to distinguish deterministic trends ...