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Breaks in persistence in fixed-T panel data

Westerlund, Joakim LU and Nordström, Marcus LU (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:
author
and
organization
publishing date
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}},
}