Common breaks in time trends for large panel data with a factor structure

DOI10.1111/ECTJ.12033OpenAlexW1581114185MaRDI QIDQ5093239FDOQ5093239

Authors: Dukpa Kim 

Publication date: 26 July 2022

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12033

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zbMATH Keywords

structural breakcommon factorlarge panel datadeterministic time trend

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (21)

• Testing for common breaks in a multiple equations system
• Detecting granular time series in large panels
• Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
• Block bootstrapping for a panel mean break test
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
• Common breaks in means for cross-correlated fixed-\(T\) panel data
• Estimation and inference of change points in high-dimensional factor models
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
• Breaks in persistence in fixed-\(T\) panel data
• Panel data segmentation under finite time horizon
• Panel data models with time-varying latent group structures
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• Estimating a common break point in means for long-range dependent panel data
• Common breaks in means and variances for panel data
• A wavelet method for panel models with jump discontinuities in the parameters
• Estimating the common break date in large factor models
• Estimation of heterogeneous panels with structural breaks
• Structural breaks in panel data: large number of panels and short length time series
• Common breaks in means for panel data under short-range dependence

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