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Estimating coefficient-by-coefficient breaks in panel data models

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  • Kaddoura, Yousef

Abstract

When estimating structural breaks, existing econometric methods adopt an approach in which either all parameters change simultaneously, or they remain the same. In this paper, we consider the estimation of panel data models when an unknown subset of coefficients is subject to breaks. The challenge lies in estimating the breaks for each coefficient. To tackle this, we propose a new estimator for panel data, the “Coefficient-by-Coefficient Lasso” break estimator. This estimator is derived by penalizing the coefficients with a fused penalty and using component-wise adaptive weights. We present this estimator for two scenarios: those with homogeneous breaks and those with heterogeneous breaks. We show that the method identifies the number and dates of breaks for all coefficients with high probability and that the post-selection estimator is asymptotically normal. We examine the small-sample properties of the method through a Monte Carlo study and further apply it to analyze the influence of socioeconomic factors on crime.

Suggested Citation

  • Kaddoura, Yousef, 2025. "Estimating coefficient-by-coefficient breaks in panel data models," Journal of Econometrics, Elsevier, vol. 249(PB).
    • Handle: RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000594
    DOI: 10.1016/j.jeconom.2025.106005
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    Cited by:

    1. Otilia Boldea & Alastair R. Hall, 2025. "Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments," Papers 2507.22204, arXiv.org.

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    Keywords

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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • 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
    • K42 - Law and Economics - - Legal Procedure, the Legal System, and Illegal Behavior - - - Illegal Behavior and the Enforcement of Law

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