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Estimation of a level shift in panel data with fractionally integrated errors

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  • Chang, Seong Yeon

Abstract

This article deals with the estimation of a common break point in panel data. We consider the general case of fractionally integrated errors with memory parameter d∈(−0.5,0.5) and establish the consistency, convergence rate, and limiting distribution of the estimated common break point. The ordinary least squares method is used for estimating the break point in mean. We find that the convergence rate is invariant to the order of fractional integration. Simulation experiments are provided to illustrate some of the theoretical results.

Suggested Citation

  • Chang, Seong Yeon, 2021. "Estimation of a level shift in panel data with fractionally integrated errors," Economics Letters, Elsevier, vol. 206(C).
    • Handle: RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002482
    DOI: 10.1016/j.econlet.2021.109971
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    References listed on IDEAS

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    More about this item

    Keywords

    Change points; Common breaks; Fractional processes; Level shifts; Panel data; Structural breaks;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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