Common breaks in means and variances for panel data

Jushan Bai

Journal of Econometrics, 2010, vol. 157, issue 1, 78-92

Abstract: This paper establishes the consistency of the estimated common break point in panel data. Consistency is obtainable even when a regime contains a single observation, making it possible to quickly identify the onset of a new regime. We also propose a new framework for developing the limiting distribution for the estimated break point, and show how to construct confidence intervals. The least squares method is used for estimating breaks in means and the quasi-maximum likelihood (QML) method is used to estimate breaks in means and in variances. QML is shown to be more efficient than the least squares even if there is no change in the variances.

Keywords: Change; points; Panel; data; Structural; breaks; Common; breaks (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (116)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:157:y:2010:i:1:p:78-92

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