Economics at your fingertips  

Testing for a Structural Break in a Spatial Panel Model

Aparna Sengupta ()
Additional contact information
Aparna Sengupta: Bates White Economic Consulting, 1300 Eye street NW Washington DC 20005, USA

Econometrics, 2017, vol. 5, issue 1, 1-17

Abstract: We consider the problem of testing for a structural break in the spatial lag parameter in a panel model (spatial autoregressive). We propose a likelihood ratio test of the null hypothesis of no break against the alternative hypothesis of a single break. The limiting distribution of the test is derived under the null when both the number of individual units N and the number of time periods T is large or N is fixed and T is large. The asymptotic critical values of the test statistic can be obtained analytically. We also propose a break-date estimator that can be employed to determine the location of the break point following evidence against the null hypothesis. We present Monte Carlo evidence to show that the proposed procedure performs well in finite samples. Finally, we consider an empirical application of the test on budget spillovers and interdependence in fiscal policy within the U.S. states.

Keywords: panel model; structural change; spatial econometrics; spatio-temporal; U.S. state budget (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Econometrics is currently edited by Prof. Dr. Kerry Patterson

More articles in Econometrics from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

Page updated 2018-10-02
Handle: RePEc:gam:jecnmx:v:5:y:2017:i:1:p:12-:d:92290