Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
From MaRDI portal
Publication:6190678
DOI10.1080/07350015.2022.2053690arXiv2111.03035OpenAlexW3213420675MaRDI QIDQ6190678
Paresh Kumar Narayan, Yiannis Karavias, Joakim Westerlund
Publication date: 6 March 2024
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2111.03035
Related Items (1)
Cites Work
- Inference and testing breaks in large dynamic panels with strong cross sectional dependence
- Large panels with common factors and spatial correlation
- Common breaks in means and variances for panel data
- Estimating a common deterministic time trend break in large panels with cross sectional dependence
- Estimation of heterogeneous panels with structural breaks
- Stock return and cash flow predictability: the role of volatility risk
- Weak and strong cross‐section dependence and estimation of large panels
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Efficient Tests for an Autoregressive Unit Root
- Estimating and testing multiple structural changes in linear models using band spectral regressions
- On Estimation and Inference in Heterogeneous Panel Regressions with Interactive Effects
- Structural breaks in panel data: Large number of panels and short length time series
- Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
This page was built for publication: Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19