Estimation of a level shift in panel data with fractionally integrated errors

DOI10.1016/J.ECONLET.2021.109971MaRDI QIDQ1984471zbMATH OpenOpenAlexFDO

Authors Seong Yeon Chang

Publication date 16 September 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.109971

zbMATH Keywords

change pointscommon breaksfractional processeslevel shiftspanel datastructural breaks

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Estimation of fractionally integrated panels with fixed effects and cross-section dependence
• Efficient inference on fractionally integrated panel data models with fixed effects
• Level-based estimation of dynamic panel models
• ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS
• Fixed T dynamic panel data estimators with multifactor errors
• Inference on a structural break in trend with fractionally integrated errors
• Estimating the fractionally integrated process in the presence of measurement errors
• Panels with non-stationary multifactor error structures

Cites work

• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• Change-point estimation of nonstationary I(d) processes
• Change‐Point Estimation of Fractionally Integrated Processes
• Common breaks in means and variances for panel data
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Estimating and Testing Linear Models with Multiple Structural Changes
• Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• Structural breaks with deterministic and stochastic trends
• The distance between rival nonstationary fractional processes

Cited in

(2)

• Break point estimators for a slope shift: levels versus first differences
• Panel data methods for fractional response variables with an application to test pass rates

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