Breaks in persistence in fixed-T panel data

Joakim Westerlund and Marcus Nordström

Economics Letters, 2021, vol. 205, issue C

Abstract: This paper considers an autoregressive panel data model in which the autoregressive coefficient has undergone a structural break. The object of interest is the unknown breakpoint. A least squares-based estimator is proposed that is shown to be consistent when only the number of cross-section units, N, is large and the number of time periods, T, is small, thereby enabling quick detection of the onset of a new regime.

Keywords: Panel data; Break in persistence; Explosive and unit root behaviors (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:205:y:2021:i:c:s0165176521002354

DOI: 10.1016/j.econlet.2021.109958

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