Breaks in persistence in fixed-T panel data

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish
Article number109958
JournalEconomics Letters
Publication statusPublished - 2021 Aug 1

Bibliographical note

Funding Information:
Westerlund would like to thank the Knut and Alice Wallenberg Foundation, Sweden for financial support through a Wallenberg Academy Fellowship.

Subject classification (UKÄ)

  • Economics
  • Probability Theory and Statistics

Free keywords

  • Break in persistence
  • Explosive and unit root behaviors
  • Panel data


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