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Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data

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  • Joakim Westerlund

Abstract

This note considers a panel data model in which the variable of interest has undergone a common structural break in the mean. The object of interest is the unknown breakpoint. The challenge is to device an estimator that is consistent when the data are cross‐correlated and the number of time periods T is fixed and cannot be increased without bound. The proposed solution involves taking an already existing estimator initially proposed for cross‐section uncorrelated panels and applying it to defactored data. Consistency is established as the number of cross‐section units N grows large, and is verified in small samples using Monte Carlo simulation.

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  • Joakim Westerlund, 2019. "Common Breaks in Means for Cross‐Correlated Fixed‐T Panel Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(2), pages 248-255, March.
    • Handle: RePEc:bla:jtsera:v:40:y:2019:i:2:p:248-255
    DOI: 10.1111/jtsa.12407
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    Cited by:

    1. Christos Argyropoulos & Bertrand Candelon & Jean-Baptiste Hasse & Ekaterini Panopoulou, 2020. "Toward a Macroprudential Regulatory Framework for Mutual Funds," GRU Working Paper Series GRU_2020_008, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    2. Jiang, Peiyun & Kurozumi, Eiji, 2021. "A new test for common breaks in heterogeneous panel data models," Discussion paper series HIAS-E-107, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.

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