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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95-18, Massachusetts Institute of Technology (MIT), Department of Economics.
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- Jushan Bai & Pierre Perron, 1998.
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- 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.
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"Testing for and Dating Common Breaks in Multivariate Time Series,"
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Wiley Blackwell, vol. 65(3), pages 395-432, July.
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- 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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