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Breaks in persistence in fixed-T panel data

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  • Westerlund, Joakim
  • Nordström, Marcus

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.

Suggested Citation

  • Westerlund, Joakim & Nordström, Marcus, 2021. "Breaks in persistence in fixed-T panel data," Economics Letters, Elsevier, vol. 205(C).
    • Handle: RePEc:eee:ecolet:v:205:y:2021:i:c:s0165176521002354
    DOI: 10.1016/j.econlet.2021.109958
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    References listed on IDEAS

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    1. Pang, Tianxiao & Tai-Leung Chong, Terence & Zhang, Danna & Liang, Yanling, 2018. "Structural Change In Nonstationary Ar(1) Models," Econometric Theory, Cambridge University Press, vol. 34(5), pages 985-1017, October.
    2. Otilia Boldea & Bettina Drepper & Zhuojiong Gan, 2020. "Change point estimation in panel data with time‐varying individual effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 712-727, September.
    3. De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
    4. Horváth, Lajos & Hušková, Marie & Rice, Gregory & Wang, Jia, 2017. "Asymptotic Properties Of The Cusum Estimator For The Time Of Change In Linear Panel Data Models," Econometric Theory, Cambridge University Press, vol. 33(2), pages 366-412, April.
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    More about this item

    Keywords

    Panel data; Break in persistence; Explosive and unit root behaviors;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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