Estimation of Panel Data Models with Random Interactive Effects and Multiple Structural Breaks when T is Fixed

DOI10.1080/07350015.2022.2067546MaRDI QIDQ6190691zbMATH OpenOpenAlexFDO

Authors Yousef Kaddoura, Joakim Westerlund

Publication date 6 March 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2022.2067546

zbMATH Keywords

common factorsinteractive effectsLassopanel datastructural change

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

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• Sparsity and Smoothness Via the Fused Lasso
• Statistical challenges with high dimensionality: feature selection in knowledge discovery
• Structural Breaks in Interactive Effects Panels and the Stock Market Reaction to COVID-19
• Structural breaks in panel data: large number of panels and short length time series
• The factor-Lasso and \(k\)-step bootstrap approach for inference in high-dimensional economic applications

Cited in

(3)

• CCE under nonrandom heterogeneity
• Determination of the number of breaks in heterogeneous panel data models
• Estimating coefficient-by-coefficient breaks in panel data models

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