Common breaks in means and variances for panel data |
| |
Authors: | Jushan Bai |
| |
Affiliation: | Department of Economics, Columbia University, 420 West 118th Street, New York, NY 10027, United States; SEM, Tsinghua University, and CEMA, Central University of Economics and Finance, Beijing, China |
| |
Abstract: | This paper establishes the consistency of the estimated common break point in panel data. Consistency is obtainable even when a regime contains a single observation, making it possible to quickly identify the onset of a new regime. We also propose a new framework for developing the limiting distribution for the estimated break point, and show how to construct confidence intervals. The least squares method is used for estimating breaks in means and the quasi-maximum likelihood (QML) method is used to estimate breaks in means and in variances. QML is shown to be more efficient than the least squares even if there is no change in the variances. |
| |
Keywords: | C23 C33 C51 |
本文献已被 ScienceDirect 等数据库收录! |
|