If I were going to do it on the cheap...
Use your apartment (or even better someone elses haha) and build only a fake single wall. Single rectangular frame construction,and forget bracing in the middle. Move furniture around to dress like a normal room. Remember, you only need to build enough of this wall to fill the camera, so depending on your angle, you may only need to cover a few feet. Build frame out of 2x4 (relatively cheap) and cover with Dry wall board. Don't forget to blackout the backside of the wall (ie if there are any windows on the backside of the "wall" when you punch thru you'll get light shining thru from the otherside. This is probably not desirable, but use your own descretion.)
BE WARNED: I've haven'nt actually tested drywall break-thru strength, but the stuff isn't THAT strong and it sounds like what D0gSoldi3r was refering to. You could probably weaken w/ water as he stated even further.
Even the big-budget boys build breakthru walls like that. Normal wall except for a balsa wood "section" that looks just like the wall next to it and marked with warning tape till just before the shot (since you can't tell the diff.)... "add actor, throw actor, no more wall"