Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Breaks in persistence in fixed-T panel data
Author
Summary, in English
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.
Department/s
- Department of Economics
Publishing year
2021-08-01
Language
English
Publication/Series
Economics Letters
Volume
205
Document type
Journal article
Publisher
Elsevier
Topic
- Economics
- Probability Theory and Statistics
Keywords
- Break in persistence
- Explosive and unit root behaviors
- Panel data
Status
Published
ISBN/ISSN/Other
- ISSN: 0165-1765