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Multiple Structural Breaks in Interactive Effects Panel Data Models

Ditzen, Jan ; Karavias, Ioannis and Westerlund, Joakim LU (2025) In Journal of Applied Econometrics 40(1).
Abstract
This paper develops new econometric methods for multiple structural break detection in panel data models with interactive fixed effects. The new methods include tests for the presence of structural breaks, estimators for the number of breaks and their location, and a method for constructing asymptotically valid break date confidence intervals. The new methodology is applied to a large panel of US banks for a period characterized by massive quantitative easing programs aimed at lessening the impact of the global financial crisis and the COVID-19 pandemic. The question we ask is as follows: Have these programs been successful in spurring bank lending in the US economy? The short answer turns out to be: “No”.
Please use this url to cite or link to this publication:
author
; and
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Journal of Applied Econometrics
volume
40
issue
1
publisher
John Wiley & Sons Inc.
external identifiers
  • scopus:85208937797
ISSN
0883-7252
DOI
10.1002/jae.3097
language
English
LU publication?
yes
id
5f59d6e3-2d5f-489b-bf91-8fa94a41a5ce
date added to LUP
2024-09-04 08:37:23
date last changed
2025-12-03 17:11:32
@article{5f59d6e3-2d5f-489b-bf91-8fa94a41a5ce,
  abstract     = {{This paper develops new econometric methods for multiple structural break detection in panel data models with interactive fixed effects. The new methods include tests for the presence of structural breaks, estimators for the number of breaks and their location, and a method for constructing asymptotically valid break date confidence intervals. The new methodology is applied to a large panel of US banks for a period characterized by massive quantitative easing programs aimed at lessening the impact of the global financial crisis and the COVID-19 pandemic. The question we ask is as follows: Have these programs been successful in spurring bank lending in the US economy? The short answer turns out to be: “No”.}},
  author       = {{Ditzen, Jan and Karavias, Ioannis and Westerlund, Joakim}},
  issn         = {{0883-7252}},
  language     = {{eng}},
  number       = {{1}},
  publisher    = {{John Wiley & Sons Inc.}},
  series       = {{Journal of Applied Econometrics}},
  title        = {{Multiple Structural Breaks in Interactive Effects Panel Data Models}},
  url          = {{http://dx.doi.org/10.1002/jae.3097}},
  doi          = {{10.1002/jae.3097}},
  volume       = {{40}},
  year         = {{2025}},
}