Common breaks in means and variances for panel data

DOI10.1016/J.JECONOM.2009.10.020zbMATH Open1431.62353OpenAlexW2108938609MaRDI QIDQ530972FDOQ530972

Authors: Jushan Bai 

Publication date: 1 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.020

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• A new structural break test for panels with common factors
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zbMATH Keywords

panel datastructural breakschange pointscommon breaks

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

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Cited In (only showing first 100 items - show all)

• Testing for common breaks in a multiple equations system
• Relevant change points in high dimensional time series
• A robust bootstrap change point test for high-dimensional location parameter
• Change-point detection in panel data
• Group orthogonal greedy algorithm for change-point estimation of multivariate time series
• High dimensional change point estimation via sparse projection
• Change-point testing for parallel data sets with FDR control
• Testing structural changes in panel data with small fixed panel size and bootstrap
• Change-point estimation in the multivariate model taking into account the dependence: application to the vegetative development of oilseed rape
• Estimating structural changes in regression quantiles
• Extensions of some classical methods in change point analysis
• Shrinkage estimation of regression models with multiple structural changes
• 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
• A general panel break test based on the self-normalization method
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
• Multiple change point detection and validation in autoregressive time series data
• Common breaks in means for cross-correlated fixed-\(T\) panel data
• Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models
• Testing for unit roots in short panels allowing for a structural break
• Estimation and inference of change points in high-dimensional factor models
• High dimensional efficiency with applications to change point tests
• On high-dimensional change point problem
• Testing for parameter constancy in the time series direction in panel data models
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Heterogeneous structural breaks in panel data models
• Panel data unit root test with structural break: a Bayesian approach
• Inference for single and multiple change-points in time series
• Mortality forecasting using factor models: time-varying or time-invariant factor loadings?
• Variable selection in panel models with breaks
• The CUSUM statistic of change point under NA sequences
• Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
• Minimax rates in sparse, high-dimensional change point detection
• Breaks in persistence in fixed-\(T\) panel data
• Local power of panel unit root tests allowing for structural breaks
• On change-point estimation under Sobolev sparsity
• Panel data segmentation under finite time horizon
• Inference on the change point under a high dimensional sparse mean shift
• Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
• A two-stage estimator for change point in the mean of panel data
• On CUSUM test for dynamic panel models
• Estimation of a level shift in panel data with fractionally integrated errors
• Changepoint estimation for dependent and non-stationary panels.
• Darling-Erdős limit results for change-point detection in panel data
• Inference of Breakpoints in High-dimensional Time Series
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• Cumulative sum estimator for change-point in panel data
• Testing for factor loading structural change under common breaks
• Multiple change-points detection in high dimension
• A wavelet method for panel models with jump discontinuities in the parameters
• Variance change-point detection in panel data models
• Estimating the common break date in large factor models
• Spatial rank-based high-dimensional change point detection via random integration
• Identification and estimation of a large factor model with structural instability
• A CUSUM test for panel mean change detection
• Testing change in volatility using panel data
• Estimation of heterogeneous panels with structural breaks
• An evaluation of some methods used for determination of homogenous structural break point in mean of panel data
• Common breaks in means for panel data under short-range dependence
• Common breaks in time trends for large panel data with a factor structure
• Multiple change points detection in high-dimensional multivariate regression
• Changepoint in dependent and non-stationary panels
• Modified tests for change points in variance in the possible presence of mean breaks
• Integrative Analysis for High-Dimensional Stratified Models
• Bootstrap procedures for variance breaks test in time series with a changing trend
• Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
• Bayesian piecewise stochastic frontier model to estimate initial public offering pricing efficiency under issuance policy reforms
• Adaptive parametric change point inference under covariance structure changes
• Peter Schmidt: Econometrician and consummate professional
• Generalized linear-quadratic model with a change point due to a covariate threshold
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• Activation discovery with FDR control: application to fMRI data
• Quantile estimation of heterogenous panel quantile model with group structure
• Change-point inference in high-dimensional regression models under temporal dependence
• A Composite Likelihood-Based Approach for Change-Point Detection in Spatio-Temporal Processes
• Shrinkage quantile regression for panel data with multiple structural breaks
• Comments on: ``Extensions of some classical methods in change point analysis
• Multivariate count time series segmentation with ``sums and shares and Poisson lognormal mixture models: a comparative study using pedestrian flows within a multimodal transport hub
• A model-based multithreshold method for subgroup identification
• Empirical likelihood approach for change-point estimation based on residuals in piecewise linear models
• Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
• Collective Anomaly Detection in High-Dimensional Var Models
• The likelihood ratio test for structural changes in factor models
• Detection and estimation of structural breaks in high-dimensional functional time series
• Sieve Estimation of Time-Varying Panel Data Models With Latent Structures
• Sequential Gaussian approximation for nonstationary time series in high dimensions
• Panel data models with time-varying latent group structures
• Analysis of stock returns in stock market based on mean breaks of panel data
• Isolating changed panels and estimating common change point after sequential detection with FDR control
• Change-detection-assisted multiple testing for spatiotemporal data
• Data-driven estimation of change-points with mean shift
• Estimating a common break point in means for long-range dependent panel data
• Estimation of panel group structure models with structural breaks in group memberships and coefficients
• Quasi-maximum likelihood estimation of break point in high-dimensional factor models
• Estimating restricted common structural changes for panel data
• Reprint of: The likelihood ratio test for structural changes in factor models
• Joint estimation of gradual variance changepoint for panel data with common structures
• Structural breaks in panel data: large number of panels and short length time series
• \(\ell^2\) inference for change points in high-dimensional time series via a two-way MOSUM
• A new hybrid approach to panel data change point detection

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