Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Breaks in persistence in fixed-T panel data
Författare
Summary, in English
This paper considers an autoregressive panel data model in which the autoregressive coefficient has undergone a structural break. The object of interest is the unknown breakpoint. A least squares-based estimator is proposed that is shown to be consistent when only the number of cross-section units, N, is large and the number of time periods, T, is small, thereby enabling quick detection of the onset of a new regime.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2021-08-01
Språk
Engelska
Publikation/Tidskrift/Serie
Economics Letters
Volym
205
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Economics
- Probability Theory and Statistics
Nyckelord
- Break in persistence
- Explosive and unit root behaviors
- Panel data
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0165-1765