Common Breaks in Means for Cross-Correlated Fixed-T Panel Data
Research output: Contribution to journal › Article
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.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Journal||Journal of Time Series Analysis|
|Early online date||2018 Jun 10|
|Publication status||Published - 2019|