Common breaks in means and variances for panel data
This paper establishes the consistency of the estimated common break point in panel data. Consistency is obtainable even when a regime contains a single observation, making it possible to quickly identify the onset of a new regime. We also propose a new framework for developing the limiting distribution for the estimated break point, and show how to construct confidence intervals. The least squares method is used for estimating breaks in means and the quasi-maximum likelihood (QML) method is used to estimate breaks in means and in variances. QML is shown to be more efficient than the least squares even if there is no change in the variances.
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- Jushan Bai & Pierre Perron, 2003.
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95-18, Massachusetts Institute of Technology (MIT), Department of Economics.
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"Testing for and Dating Common Breaks in Multivariate Time Series,"
Review of Economic Studies,
Wiley Blackwell, vol. 65(3), pages 395-432, July.
- Tom Doan, . "RATS program to demonstrate Bai, Lumsdaine, Stock common breaks in VAR," Statistical Software Components RTZ00171, Boston College Department of Economics.
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"Estimating and Testing Linear Models with Multiple Structural Changes,"
Cahiers de recherche
9552, Universite de Montreal, Departement de sciences economiques.
- Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Christopher H. Jackson & Linda D. Sharples, 2004. "Models for longitudinal data with censored changepoints," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 53(1), pages 149-162.
- Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
- Lawrence Joseph & David Wolfson, 1993. "Maximum likelihood estimation in the multi-path change-point problem," Annals of the Institute of Statistical Mathematics, Springer, vol. 45(3), pages 511-530, September.
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- Stefan de Wachter & Elias Tzavalis, 2004.
"Detection of Structural Breaks in Linear Dynamic Panel Data Models,"
505, Queen Mary University of London, School of Economics and Finance.
- De Wachter, Stefan & Tzavalis, Elias, 2012. "Detection of structural breaks in linear dynamic panel data models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3020-3034.
- Arellano, Manuel, 2003. "Panel Data Econometrics," OUP Catalogue, Oxford University Press, number 9780199245291, March.
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- De Wachter, Stefan & Tzavalis, Elias, 2005. "Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models," Economics Letters, Elsevier, vol. 88(1), pages 91-96, July.
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