Change point estimation in panel data with time‐varying individual effects
Bibliographic Data
| ID | 21653366 |
|---|---|
| Authors | Otilia Boldea (0000-0002-6135-430X, Department of Econometrics and Operations Research Tilburg University Tilburg The Netherlands), Bettina Drepper (Auxmoney Gmbh Düsseldorf Germany), Zhuojiong Gan (School of Statistics Southwestern University of Finance and Economics Chengdu China, corresponding author) |
| Year | 2020 |
| Volume | 35 |
| Issue | 6 |
| Pages | 712-727 |
| Publication date | 2020-09-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Applied Econometrics (JOURNAL) |
| Journal identifiers | ISSN: 1099-1255 • E-ISSN: 0883-7252 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/jae.2769 |
| OpenAlex | W3019642080 |
| Language | EN |
| Citations received | 5 |
| References cited | 38 |
Existing panel data methods remove unobserved individual effects before change point estimation through data transformations such as first‐differencing. In this paper, we show that multiple change points can be consistently estimated in short panels via ordinary least squares. Since no data variation is removed before change point estimation, our method has better small‐sample properties compared to first‐differencing methods. We also propose two tests that identify whether the change points found by our method originate in the slope parameters or in the covariance of the regressors with individual effects. We illustrate our method via modeling the environmental Kuznets curve and the US house price expectations after the financial crisis
Covariance · Econometrics · Economics · Estimation · Kuznets Curve · Ordinary least squares · Panel data · Point estimation · Statistics · Computer Science · Global Health Care Issues · Income, Poverty, and Inequality · Mathematics · Spatial and Panel Data Analysis
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| Citations per year | 1.67 |
|---|---|
| Citation span | 2023 - 2026 (4) |
| Highly cited | No |