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

DOI10.1016/J.ECONLET.2021.109971zbMath1471.91366OpenAlexW3177270588MaRDI QIDQ1984471

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 pointspanel datastructural breaksfractional processeslevel shiftscommon breaks

Mathematics Subject Classification ID

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

Cites Work

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• The distance between rival nonstationary fractional processes
• Structural breaks with deterministic and stochastic trends
• Common breaks in means and variances for panel data
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Change-point estimation of nonstationary \(I(d)\) processes
• Change‐Point Estimation of Fractionally Integrated Processes
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• 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

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