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Estimating a common break in anti-persistent panel models with cross-sectional dependence

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  • Wang, Qian
  • Xi, Daiqing

Abstract

This paper examines the estimation of a common mean break in panel data with both cross-sectional and anti-persistent temporal dependence. We employ an iterative least squares method both to eliminate the unobserved common factors and to estimate the common mean break point. The convergence rates and limiting distribution of the estimator are established. Our theoretical results are supported by Monte Carlo simulations and an empirical analysis.

Suggested Citation

  • Wang, Qian & Xi, Daiqing, 2026. "Estimating a common break in anti-persistent panel models with cross-sectional dependence," Statistics & Probability Letters, Elsevier, vol. 237(C).
    • Handle: RePEc:eee:stapro:v:237:y:2026:i:c:s0167715226001926
    DOI: 10.1016/j.spl.2026.110828
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