Estimation of a level shift in panel data with fractionally integrated errors

Seong Yeon Chang

Economics Letters, 2021, vol. 206, issue C

Abstract: This article deals with the estimation of a common break point in panel data. We consider the general case of fractionally integrated errors with memory parameter d∈(−0.5,0.5) and establish the consistency, convergence rate, and limiting distribution of the estimated common break point. The ordinary least squares method is used for estimating the break point in mean. We find that the convergence rate is invariant to the order of fractional integration. Simulation experiments are provided to illustrate some of the theoretical results.

Keywords: Change points; Common breaks; Fractional processes; Level shifts; Panel data; Structural breaks (search for similar items in EconPapers)
JEL-codes: C23 C33 C51 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002482

DOI: 10.1016/j.econlet.2021.109971

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