Structural breaks in panel data: Large number of panels and short length time series

DOI10.1080/07474938.2018.1454378zbMath1490.62224OpenAlexW2598470368MaRDI QIDQ5860947

Lajos Horváth, Jaromír Antoch, Marie Hušková, Jan Hanousek, Shixuan Wang

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://centaur.reading.ac.uk/79661/1/final-pdf-Antoch-et-al.pdf

zbMATH Keywords

bootstrappanel datastationaritychange point problemUS mutual fundsfour factor CAPM model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

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