Advanced

Common Breaks in Means for Cross-Correlated Fixed-T Panel Data

Westerlund, Joakim LU (2019) In Journal of Time Series Analysis 40(2). p.248-255
Abstract
This note considers a panel data model in which the variable of interest has undergone a common structural break in the mean. The object of interest is the unknown breakpoint. The challenge is to device an estimator that is consistent when the data are cross‐correlated and the number of time periods T is fixed and cannot be increased without bound. The proposed solution involves taking an already existing estimator initially proposed for cross‐section uncorrelated panels and applying it to defactored data. Consistency is established as the number of cross‐section units N grows large, and is verified in small samples using Monte Carlo simulation.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Journal of Time Series Analysis
volume
40
issue
2
pages
248 - 255
publisher
Wiley-Blackwell
external identifiers
  • scopus:85061098406
ISSN
0143-9782
DOI
10.1111/jtsa.12407
language
English
LU publication?
yes
id
6eb8bac2-1f34-483d-9cfc-8cd4f898453e
date added to LUP
2018-08-22 16:15:36
date last changed
2019-03-12 04:13:49
@article{6eb8bac2-1f34-483d-9cfc-8cd4f898453e,
  abstract     = {This note considers a panel data model in which the variable of interest has undergone a common structural break in the mean. The object of interest is the unknown breakpoint. The challenge is to device an estimator that is consistent when the data are cross‐correlated and the number of time periods T is fixed and cannot be increased without bound. The proposed solution involves taking an already existing estimator initially proposed for cross‐section uncorrelated panels and applying it to defactored data. Consistency is established as the number of cross‐section units N grows large, and is verified in small samples using Monte Carlo simulation. },
  author       = {Westerlund, Joakim},
  issn         = {0143-9782},
  language     = {eng},
  number       = {2},
  pages        = {248--255},
  publisher    = {Wiley-Blackwell},
  series       = {Journal of Time Series Analysis},
  title        = {Common Breaks in Means for Cross-Correlated Fixed-T Panel Data},
  url          = {http://dx.doi.org/10.1111/jtsa.12407},
  volume       = {40},
  year         = {2019},
}