Breaks in persistence in fixed-T panel data
(2021) In Economics Letters 205.- Abstract
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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/18cacda8-39c3-4c4e-a029-28d0d7e52025
- author
- Westerlund, Joakim LU and Nordström, Marcus LU
- organization
- publishing date
- 2021-08-01
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Break in persistence, Explosive and unit root behaviors, Panel data
- in
- Economics Letters
- volume
- 205
- article number
- 109958
- publisher
- Elsevier
- external identifiers
-
- scopus:85109105354
- ISSN
- 0165-1765
- DOI
- 10.1016/j.econlet.2021.109958
- language
- English
- LU publication?
- yes
- additional info
- Funding Information: Westerlund would like to thank the Knut and Alice Wallenberg Foundation, Sweden for financial support through a Wallenberg Academy Fellowship.
- id
- 18cacda8-39c3-4c4e-a029-28d0d7e52025
- date added to LUP
- 2021-08-18 13:59:07
- date last changed
- 2022-04-27 03:15:01
@article{18cacda8-39c3-4c4e-a029-28d0d7e52025, abstract = {{<p>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.</p>}}, author = {{Westerlund, Joakim and Nordström, Marcus}}, issn = {{0165-1765}}, keywords = {{Break in persistence; Explosive and unit root behaviors; Panel data}}, language = {{eng}}, month = {{08}}, publisher = {{Elsevier}}, series = {{Economics Letters}}, title = {{Breaks in persistence in fixed-T panel data}}, url = {{http://dx.doi.org/10.1016/j.econlet.2021.109958}}, doi = {{10.1016/j.econlet.2021.109958}}, volume = {{205}}, year = {{2021}}, }