Panel Data-problems

[EsTiMa]

I will be estimating a panel data set of around 60 countries and I will be dividing the period into three decades(80s,90s, and 2000s) so as to see how the coefficient change given the different time periods. Are there tests that would help me validate the statistical significance of the results(given that the countries are the same but the time periods and hence data are different)? For the regressions I will using DOLS and FMOLS. Any suggestions would be greatly appreciated.