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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Breaks in persistence in fixed-T panel data

Author

  • Joakim Westerlund
  • Marcus Nordström

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