Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19

DOI10.1080/07350015.2022.2053690arXiv2111.03035OpenAlexW3213420675MaRDI QIDQ6190678

Paresh Kumar Narayan, Yiannis Karavias, Joakim Westerlund

Publication date: 6 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.03035

zbMATH Keywords

panel datastructural changechange-pointcross-section dependencecommon correlated effectsCOVID-19

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (1)

Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed

Cites Work

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• On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
• Structural breaks in panel data: Large number of panels and short length time series
• Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term

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